Cover Page
Cover Page - shares | 6 Months Ended | |
Jun. 30, 2021 | Jul. 31, 2021 | |
Entity Information [Line Items] | ||
Document Type | 10-Q | |
Document Quarterly Report | true | |
Document Period End Date | Jun. 30, 2021 | |
Document Transition Report | false | |
Entity File Number | 001-34385 | |
Entity Registrant Name | Invesco Mortgage Capital Inc. | |
Entity Incorporation, State or Country Code | MD | |
Entity Tax Identification Number | 26-2749336 | |
Entity Address, Address Line One | 1555 Peachtree Street, N.E., Suite 1800, | |
Entity Address, City or Town | Atlanta, | |
Entity Address, State or Province | GA | |
Entity Address, Postal Zip Code | 30309 | |
City Area Code | 404 | |
Local Phone Number | 892-0896 | |
Entity Current Reporting Status | Yes | |
Entity Interactive Data Current | Yes | |
Entity Filer Category | Large Accelerated Filer | |
Entity Small Business | false | |
Entity Emerging Growth Company | false | |
Entity Shell Company | false | |
Entity Common Stock, Shares Outstanding (in shares) | 289,680,760 | |
Entity Central Index Key | 0001437071 | |
Current Fiscal Year End Date | --12-31 | |
Document Fiscal Year Focus | 2021 | |
Document Fiscal Period Focus | Q2 | |
Amendment Flag | false | |
Common Stock | ||
Entity Information [Line Items] | ||
Title of 12(b) Security | Common Stock, par value $0.01 per share | |
Trading Symbol | IVR | |
Security Exchange Name | NYSE | |
7.75% Series A Cumulative Redeemable Preferred Stock | ||
Entity Information [Line Items] | ||
Title of 12(b) Security | 7.75% Series A Cumulative Redeemable Preferred Stock | |
Trading Symbol | IVR PrA | |
Security Exchange Name | NYSE | |
7.75% Fixed-to-Floating Series B Cumulative Redeemable Preferred Stock | ||
Entity Information [Line Items] | ||
Title of 12(b) Security | 7.75% Fixed-to-Floating Series B Cumulative Redeemable Preferred Stock | |
Trading Symbol | IVR PrB | |
Security Exchange Name | NYSE | |
7.50% Fixed-to-Floating Series C Cumulative Redeemable Preferred Stock | ||
Entity Information [Line Items] | ||
Title of 12(b) Security | 7.50% Fixed-to-Floating Series C Cumulative Redeemable Preferred Stock | |
Trading Symbol | IVR PrC | |
Security Exchange Name | NYSE |
CONDENSED CONSOLIDATED BALANCE
CONDENSED CONSOLIDATED BALANCE SHEETS - USD ($) $ in Thousands | Jun. 30, 2021 | Dec. 31, 2020 |
ASSETS | ||
Mortgage-backed securities, at fair value (including pledged securities of $8,248,952 and $7,614,935, respectively; net of allowance for credit losses of $1,768 as of December 31, 2020) | $ 8,730,663 | $ 8,172,182 |
Cash and cash equivalents | 134,664 | 148,011 |
Restricted cash | 353,386 | 244,573 |
Due from counterparties | 300 | 1,078 |
Investment related receivable | 17,809 | 15,840 |
Derivative assets, at fair value | 4,417 | 10,004 |
Other assets | 35,461 | 41,163 |
Total assets | 9,276,700 | 8,632,851 |
Liabilities: | ||
Repurchase agreements | 7,851,204 | 7,228,699 |
Derivative liabilities, at fair value | 17,262 | 6,344 |
Dividends payable | 26,071 | 18,970 |
Investment related payable | 274 | 274 |
Accrued interest payable | 377 | 823 |
Collateral held payable | 310 | 3,546 |
Accounts payable and accrued expenses | 1,759 | 1,448 |
Due to affiliate | 6,064 | 5,589 |
Total liabilities | 7,903,321 | 7,265,693 |
Commitments and contingencies | ||
Stockholders' equity: | ||
Common Stock, par value $0.01 per share; 450,000,000 shares authorized; 289,680,760 and 203,222,108 shares issued and outstanding, respectively | 2,897 | 2,032 |
Additional paid in capital | 3,693,917 | 3,387,552 |
Accumulated other comprehensive income | 49,921 | 58,605 |
Retained earnings (distributions in excess of earnings) | (2,801,324) | (2,644,355) |
Total stockholders’ equity | 1,373,379 | 1,367,158 |
Total liabilities and stockholders' equity | 9,276,700 | 8,632,851 |
Series A Preferred Stock | ||
Stockholders' equity: | ||
Preferred Stock | 0 | 135,356 |
Series B Preferred Stock | ||
Stockholders' equity: | ||
Preferred Stock | 149,860 | 149,860 |
Series C Preferred Stock | ||
Stockholders' equity: | ||
Preferred Stock | $ 278,108 | $ 278,108 |
CONDENSED CONSOLIDATED BALANC_2
CONDENSED CONSOLIDATED BALANCE SHEETS (Parenthetical) - USD ($) $ in Thousands | Jun. 30, 2021 | Dec. 31, 2020 |
Mortgage-backed and credit risk transfer securities, pledged | $ 8,248,952 | $ 7,614,935 |
Allowance for credit loss | $ 0 | $ 1,768 |
Preferred Stock - par value (in USD per share) | $ 0.01 | $ 0.01 |
Preferred Stock - shares authorized | 50,000,000 | 50,000,000 |
Common Stock - par value (in USD per share) | $ 0.01 | $ 0.01 |
Common Stock - shares authorized | 450,000,000 | 450,000,000 |
Common Stock - shares outstanding | 289,680,760 | 203,222,108 |
Common Stock - shares issued | 289,680,760 | 203,222,108 |
Series A Preferred Stock | ||
Preferred Stock - dividend rate stated percentage | 7.75% | 7.75% |
Preferred Stock - shares issued | 0 | 5,600,000 |
Preferred Stock - shares outstanding | 0 | 5,600,000 |
Preferred Stock - liquidation preference value | $ 140,000 | |
Series B Preferred Stock | ||
Preferred Stock - dividend rate stated percentage | 7.75% | 7.75% |
Preferred Stock - shares issued | 6,200,000 | 6,200,000 |
Preferred Stock - shares outstanding | 6,200,000 | 6,200,000 |
Preferred Stock - liquidation preference value | $ 155,000 | $ 155,000 |
Series C Preferred Stock | ||
Preferred Stock - dividend rate stated percentage | 7.50% | 7.50% |
Preferred Stock - shares issued | 11,500,000 | 11,500,000 |
Preferred Stock - shares outstanding | 11,500,000 | 11,500,000 |
Preferred Stock - liquidation preference value | $ 287,500 | $ 287,500 |
CONDENSED CONSOLIDATED STATEMEN
CONDENSED CONSOLIDATED STATEMENTS OF OPERATIONS - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | ||
Interest income | |||||
Mortgage-backed and credit risk transfer securities | $ 42,634 | $ 29,628 | $ 82,068 | $ 215,164 | |
Commercial and other loans | 520 | 545 | 1,096 | 1,708 | |
Total interest income | 43,154 | 30,173 | 83,164 | 216,872 | |
Interest expense | |||||
Repurchase agreements | [1] | (3,177) | (1,270) | (4,837) | 77,772 |
Secured loans | 0 | 1,712 | 0 | 8,358 | |
Total interest expense | (3,177) | 442 | (4,837) | 86,130 | |
Net interest income | 46,331 | 29,731 | 88,001 | 130,742 | |
Other income (loss) | |||||
Gain (loss) on investments, net | 72,620 | (306,366) | (259,237) | (1,061,849) | |
(Increase) decrease in provision for credit losses | 830 | 0 | 1,768 | 0 | |
Equity in earnings (losses) of unconsolidated ventures | 331 | 318 | 237 | 488 | |
Gain (loss) on derivative instruments, net | (186,284) | (343) | 100,677 | (911,122) | |
Realized and unrealized credit derivative income (loss), net | 0 | (2,738) | 0 | (35,790) | |
Net gain (loss) on extinguishment of debt | 0 | 3,701 | 0 | (1,107) | |
Other investment income (loss), net | 16 | 731 | 0 | 1,534 | |
Total other income (loss) | (112,487) | (304,697) | (156,555) | (2,007,846) | |
Expenses | |||||
Management fee – related party | 5,455 | 9,793 | 10,339 | 20,746 | |
General and administrative | 2,147 | 4,080 | 4,140 | 7,181 | |
Total expenses | 7,602 | 13,873 | 14,479 | 27,927 | |
Net income (loss) attributable to Invesco Mortgage Capital Inc. | (73,758) | (288,839) | (83,033) | (1,905,031) | |
Dividends to preferred stockholders | 9,900 | 11,106 | 21,007 | 22,213 | |
Issuance and redemption costs of redeemed preferred stock | 4,682 | 0 | 4,682 | 0 | |
Net income (loss) available to common stockholders | $ (88,340) | $ (299,945) | $ (108,722) | $ (1,927,244) | |
Net income (loss) per share | |||||
Basic (in USD per share) | $ (0.34) | $ (1.80) | $ (0.45) | $ (11.91) | |
Diluted (in USD per share) | $ (0.34) | $ (1.80) | $ (0.45) | $ (11.91) | |
[1] | Periods with negative interest expense on repurchase agreements are due to amortization of net deferred gains on de-designated interest rate swaps that exceeds current period interest expense on repurchase agreements. For further information on amortization of amounts classified in accumulated other comprehensive income before we discontinued hedge accounting, see Note 8 - "Derivatives and Hedging Activities" and Note 12 - "Stockholders' Equity". |
CONDENSED CONSOLIDATED STATEM_2
CONDENSED CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | |
Statement of Comprehensive Income [Abstract] | ||||
Net income (loss) | $ (73,758) | $ (288,839) | $ (83,033) | $ (1,905,031) |
Other comprehensive income (loss): | ||||
Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net | 1,155 | (53,271) | 2,136 | (239,876) |
Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net | 0 | 34,782 | 0 | 71,739 |
Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense | (5,429) | (4,503) | (10,797) | (14,570) |
Currency translation adjustments on investment in unconsolidated venture | (632) | (388) | (23) | 92 |
Total other comprehensive income (loss) | (4,906) | (23,380) | (8,684) | (182,615) |
Comprehensive income (loss) | (78,664) | (312,219) | (91,717) | (2,087,646) |
Less: Dividends to preferred stockholders | (9,900) | (11,106) | (21,007) | (22,213) |
Less: Issuance and redemption costs of redeemed preferred stock | (4,682) | 0 | (4,682) | 0 |
Comprehensive income (loss) attributable to common stockholders | $ (93,246) | $ (323,325) | $ (117,406) | $ (2,109,859) |
CONDENSED CONSOLIDATED STATEM_3
CONDENSED CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY - USD ($) $ in Thousands | Total | Cumulative Effect, Period of Adoption, Adjustment | Preferred StockSeries A Preferred Stock | Preferred StockSeries B Preferred Stock | Preferred StockSeries C Preferred Stock | Common Stock | Additional Paid in Capital | Accumulated Other Comprehensive Income (Loss) | Retained Earnings (Distributions in excess of earnings) | Retained Earnings (Distributions in excess of earnings)Cumulative Effect, Period of Adoption, Adjustment |
Beginning balance (in shares) at Dec. 31, 2019 | 5,600,000 | 6,200,000 | 11,500,000 | 144,256,357 | ||||||
Beginning balance at Dec. 31, 2019 | $ 2,931,899 | $ 342 | $ 135,356 | $ 149,860 | $ 278,108 | $ 1,443 | $ 2,892,652 | $ 288,963 | $ (814,483) | $ 342 |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||
Net income (loss) | (1,616,192) | (1,616,192) | ||||||||
Other comprehensive income (loss) | (159,235) | (159,235) | ||||||||
Proceeds from issuance of common stock, net of offering costs (in shares) | 20,700,000 | |||||||||
Proceeds from issuance of common stock, net of offering costs | 347,026 | $ 207 | 346,819 | |||||||
Stock awards (in shares) | 10,000 | |||||||||
Stock awards | 0 | $ 0 | ||||||||
Common stock dividends | (82,483) | (82,483) | ||||||||
Preferred stock dividends | (11,107) | (11,107) | ||||||||
Amortization of equity-based compensation | 131 | 131 | ||||||||
Ending balance (in shares) at Mar. 31, 2020 | 5,600,000 | 6,200,000 | 11,500,000 | 164,966,357 | ||||||
Ending balance at Mar. 31, 2020 | 1,410,381 | $ 135,356 | $ 149,860 | $ 278,108 | $ 1,650 | 3,239,602 | 129,728 | (2,523,923) | ||
Beginning balance (in shares) at Dec. 31, 2019 | 5,600,000 | 6,200,000 | 11,500,000 | 144,256,357 | ||||||
Beginning balance at Dec. 31, 2019 | 2,931,899 | $ 342 | $ 135,356 | $ 149,860 | $ 278,108 | $ 1,443 | 2,892,652 | 288,963 | (814,483) | $ 342 |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||
Net income (loss) | (1,905,031) | |||||||||
Other comprehensive income (loss) | $ (182,615) | |||||||||
Redemption of preferred stock (in shares) | 0 | |||||||||
Ending balance (in shares) at Jun. 30, 2020 | 5,600,000 | 6,200,000 | 11,500,000 | 181,327,368 | ||||||
Ending balance at Jun. 30, 2020 | $ 1,157,792 | $ 135,356 | $ 149,860 | $ 278,108 | $ 1,813 | 3,313,801 | 106,348 | (2,827,494) | ||
Beginning balance (in shares) at Mar. 31, 2020 | 5,600,000 | 6,200,000 | 11,500,000 | 164,966,357 | ||||||
Beginning balance at Mar. 31, 2020 | 1,410,381 | $ 135,356 | $ 149,860 | $ 278,108 | $ 1,650 | 3,239,602 | 129,728 | (2,523,923) | ||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||
Net income (loss) | (288,839) | (288,839) | ||||||||
Other comprehensive income (loss) | (23,380) | (23,380) | ||||||||
Stock awards (in shares) | 22,500 | |||||||||
Stock awards | 0 | $ 0 | ||||||||
Common stock dividends (in shares) | 16,338,511 | |||||||||
Common stock dividends | 70,608 | $ 163 | 74,071 | (3,626) | ||||||
Preferred stock dividends | $ (11,106) | (11,106) | ||||||||
Redemption of preferred stock (in shares) | 0 | |||||||||
Amortization of equity-based compensation | $ 128 | 128 | ||||||||
Ending balance (in shares) at Jun. 30, 2020 | 5,600,000 | 6,200,000 | 11,500,000 | 181,327,368 | ||||||
Ending balance at Jun. 30, 2020 | 1,157,792 | $ 135,356 | $ 149,860 | $ 278,108 | $ 1,813 | 3,313,801 | 106,348 | (2,827,494) | ||
Beginning balance (in shares) at Dec. 31, 2020 | 5,600,000 | 6,200,000 | 11,500,000 | 203,222,108 | ||||||
Beginning balance at Dec. 31, 2020 | 1,367,158 | $ 135,356 | $ 149,860 | $ 278,108 | $ 2,032 | 3,387,552 | 58,605 | (2,644,355) | ||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||
Net income (loss) | (9,275) | (9,275) | ||||||||
Other comprehensive income (loss) | (3,778) | (3,778) | ||||||||
Proceeds from issuance of common stock, net of offering costs (in shares) | 43,150,000 | |||||||||
Proceeds from issuance of common stock, net of offering costs | 160,981 | $ 432 | 160,549 | |||||||
Stock awards (in shares) | 25,602 | |||||||||
Stock awards | 0 | $ 0 | ||||||||
Common stock dividends | (22,176) | (22,176) | ||||||||
Preferred stock dividends | (11,107) | (11,107) | ||||||||
Amortization of equity-based compensation | 129 | 129 | ||||||||
Ending balance (in shares) at Mar. 31, 2021 | 5,600,000 | 6,200,000 | 11,500,000 | 246,397,710 | ||||||
Ending balance at Mar. 31, 2021 | 1,481,932 | $ 135,356 | $ 149,860 | $ 278,108 | $ 2,464 | 3,548,230 | 54,827 | (2,686,913) | ||
Beginning balance (in shares) at Dec. 31, 2020 | 5,600,000 | 6,200,000 | 11,500,000 | 203,222,108 | ||||||
Beginning balance at Dec. 31, 2020 | 1,367,158 | $ 135,356 | $ 149,860 | $ 278,108 | $ 2,032 | 3,387,552 | 58,605 | (2,644,355) | ||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||
Net income (loss) | (83,033) | |||||||||
Other comprehensive income (loss) | $ (8,684) | |||||||||
Redemption of preferred stock (in shares) | 0 | |||||||||
Ending balance (in shares) at Jun. 30, 2021 | 0 | 6,200,000 | 11,500,000 | 289,680,760 | ||||||
Ending balance at Jun. 30, 2021 | $ 1,373,379 | $ 0 | $ 149,860 | $ 278,108 | $ 2,897 | 3,693,917 | 49,921 | (2,801,324) | ||
Beginning balance (in shares) at Mar. 31, 2021 | 5,600,000 | 6,200,000 | 11,500,000 | 246,397,710 | ||||||
Beginning balance at Mar. 31, 2021 | 1,481,932 | $ 135,356 | $ 149,860 | $ 278,108 | $ 2,464 | 3,548,230 | 54,827 | (2,686,913) | ||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||
Net income (loss) | (73,758) | (73,758) | ||||||||
Other comprehensive income (loss) | (4,906) | (4,906) | ||||||||
Proceeds from issuance of common stock, net of offering costs (in shares) | 43,125,000 | |||||||||
Proceeds from issuance of common stock, net of offering costs | 145,879 | $ 431 | 145,448 | |||||||
Stock awards (in shares) | 158,050 | |||||||||
Stock awards | 2 | $ 2 | ||||||||
Common stock dividends | (26,071) | (26,071) | ||||||||
Preferred stock dividends | $ (9,900) | (9,900) | ||||||||
Redemption of preferred stock (in shares) | 0 | (5,600,000) | ||||||||
Redemption of preferred stock | $ (140,038) | $ (135,356) | (4,682) | |||||||
Amortization of equity-based compensation | 239 | 239 | ||||||||
Ending balance (in shares) at Jun. 30, 2021 | 0 | 6,200,000 | 11,500,000 | 289,680,760 | ||||||
Ending balance at Jun. 30, 2021 | $ 1,373,379 | $ 0 | $ 149,860 | $ 278,108 | $ 2,897 | $ 3,693,917 | $ 49,921 | $ (2,801,324) |
CONDENSED CONSOLIDATED STATEM_4
CONDENSED CONSOLIDATED STATEMENTS OF CASH FLOWS - USD ($) $ in Thousands | 6 Months Ended | |
Jun. 30, 2021 | Jun. 30, 2020 | |
Cash Flows from Operating Activities | ||
Net income (loss) | $ (83,033) | $ (1,905,031) |
Adjustments to reconcile net income (loss) to net cash provided by operating activities: | ||
Amortization of mortgage-backed and credit risk transfer securities premiums and (discounts), net | 20,389 | 9,967 |
Realized and unrealized (gain) loss on derivative instruments, net | (109,798) | 923,046 |
Realized and unrealized (gain) loss on credit derivatives, net | 0 | 41,635 |
(Gain) loss on investments, net | 259,237 | 1,061,849 |
Increase (decrease) in provision for credit losses | (1,768) | 0 |
(Gain) loss from investments in unconsolidated ventures in excess of distributions received | 24 | 243 |
Other amortization | (10,427) | (14,311) |
Net (gain) loss on extinguishment of debt | 0 | 1,107 |
Changes in operating assets and liabilities: | ||
(Increase) decrease in operating assets | (1,108) | 54,567 |
Increase (decrease) in operating liabilities | (39) | (42,459) |
Net cash provided by operating activities | 73,477 | 130,613 |
Cash Flows from Investing Activities | ||
Purchase of mortgage-backed and credit risk transfer securities | (11,003,833) | (4,953,645) |
Distributions from investments in unconsolidated ventures, net | 2,425 | 2,601 |
Change in other assets | 0 | 40,846 |
Principal payments from mortgage-backed and credit risk transfer securities | 416,524 | 690,085 |
Proceeds from sale of mortgage-backed and credit risk transfer securities | 9,755,377 | 23,119,928 |
Payment on the sale of credit derivatives | 0 | (14,131) |
Settlement (termination) of forwards, swaps, swaptions and TBAs, net | 126,303 | (904,358) |
Redemption of Federal Home Loan Bank of Indianapolis stock | 0 | 36,562 |
Net change in due from counterparties and collateral held payable on derivative instruments | (942) | (170) |
Principal payments from commercial loans held-for-investment | 0 | 136 |
Net cash provided by (used in) investing activities | (704,146) | 18,017,854 |
Cash Flows from Financing Activities | ||
Proceeds from issuance of common stock | 307,618 | 347,127 |
Redemption of preferred stock | (140,038) | 0 |
Principal repayments of secured loans | 0 | (910,000) |
Proceeds from repurchase agreements | 54,825,005 | 45,808,912 |
Principal repayments of repurchase agreements and related fees | (54,202,500) | (63,342,322) |
Net change in due from counterparties and collateral held payable on repurchase agreements | (1,516) | 32,568 |
Payments of deferred offering costs | (281) | (94) |
Payments of dividends | (62,153) | (102,590) |
Net cash provided by (used in) financing activities | 726,135 | (18,166,399) |
Net change in cash, cash equivalents and restricted cash | 95,466 | (17,932) |
Cash, cash equivalents and restricted cash, beginning of period | 392,584 | 289,502 |
Cash, cash equivalents and restricted cash, end of period | 488,050 | 271,570 |
Supplement Disclosure of Cash Flow Information | ||
Interest paid | 6,406 | 144,530 |
Non-cash Investing and Financing Activities Information | ||
Net change in unrealized gain (loss) on mortgage-backed and credit risk transfer securities | 2,136 | (168,137) |
Dividends declared not paid | 26,071 | 6,339 |
Increase (decrease) in Agency CMBS purchase commitments | 0 | (99,557) |
Net change in investment related receivable (payable) excluding Agency CMBS purchase commitments | (5) | 29,477 |
Dividend paid in common stock | 0 | 74,234 |
Offering costs not paid | (647) | (101) |
Change in foreign currency translation adjustment on other investments | $ 23 | $ (92) |
Organization and Business Opera
Organization and Business Operations | 6 Months Ended |
Jun. 30, 2021 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Organization and Business Operations | Organization and Business Operations Invesco Mortgage Capital Inc. (the "Company" or "we") is a Maryland corporation primarily focused on investing in, financing and managing mortgage-backed securities ("MBS") and other mortgage-related assets. We currently invest in: • Residential mortgage-backed securities ("RMBS") that are guaranteed by a U.S. government agency such as the Government National Mortgage Association ("Ginnie Mae"), or a federally chartered corporation such as the Federal National Mortgage Association ("Fannie Mae") or the Federal Home Loan Mortgage Corporation ("Freddie Mac") (collectively "Agency RMBS"); • Commercial mortgage-backed securities ("CMBS") that are not guaranteed by a U.S. government agency or a federally chartered corporation ("non-Agency CMBS"); • RMBS that are not guaranteed by a U.S. government agency or a federally chartered corporation ("non-Agency RMBS"); • Commercial mortgage loans; and • Other real estate-related financing agreements. We have also historically invested in: • CMBS that are guaranteed by a U.S. government agency such as Ginnie Mae or a federally chartered corporation such as Fannie Mae or Freddie Mac (collectively "Agency CMBS"); • Credit risk transfer securities that are unsecured obligations issued by government-sponsored enterprises ("GSE CRT"); and • Residential mortgage loans. We conduct our business through IAS Operating Partnership L.P. (the "Operating Partnership") and have one operating segment. We are externally managed and advised by Invesco Advisers, Inc. (our "Manager"), a registered investment adviser and an indirect, wholly-owned subsidiary of Invesco Ltd. ("Invesco"), a leading independent global investment management firm. We elected to be taxed as a real estate investment trust ("REIT") for U.S. federal income tax purposes under the provisions of the Internal Revenue Code o f 1986. To maintain our REIT qualification, we are generally required to distribute at least 90% of our REIT taxable income to our stockholders annually. We operate our business in a manner that permits our exclusion from the "Investment Company" definition under the Investment Company Act of 1940, as amended (the "1940 Act"). |
Summary of Significant Accounti
Summary of Significant Accounting Policies | 6 Months Ended |
Jun. 30, 2021 | |
Accounting Policies [Abstract] | |
Summary of Significant Accounting Policies | Summary of Significant Accounting Policies Basis of Presentation and Consolidation Certain disclosures included in our Annual Report on Form 10-K are not required to be included on an interim basis in our quarterly reports on Form 10-Q. We have condensed or omitted these disclosures. Therefore, this Form 10-Q should be read in conjunction with our Annual Report on Form 10-K for the year ended December 31, 2020. Our condensed consolidated financial statements have been prepared in accordance with generally accepted accounting principles in the United States of America ("U.S. GAAP") and consolidate the financial statements of the Company and our controlled subsidiaries. All significant intercompany transactions, balances, revenues and expenses are eliminated upon consolidation. In the opinion of management, the condensed consolidated financial statements reflect all adjustments, consisting of normal recurring accruals, which are necessary for a fair statement of our financial condition and results of operations for the periods presented. Use of Estimates The preparation of condensed consolidated financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the amounts reported in our condensed consolidated financial statements and accompanying notes. Examples of estimates include, but are not limited to, estimates of the fair values of financial instruments, interest income on mortgage-backed and credit risk transfer securities and allowances for credit losses. Actual results may differ from those estimates. Significant Accounting Policies There have been no changes to our accounting policies included in Note 2 to the consolidated financial statements of our Annual Report on Form 10-K for the year ended December 31, 2020. Accounting Pronouncements Recently Issued In January 2021, the Financial Accounting Standards Board expanded existing accounting guidance for evaluating the effects of reference rate reform on financial reporting. The new guidance expands the temporary optional expedients and exceptions to U.S. GAAP for contract modifications, hedge accounting and other relationships that reference London Interbank Overnight Financing Rate ("LIBOR") to apply to all derivative instruments affected by the market-wide change in the interest rates used for discounting, margining or contract price alignment (commonly referred to as the discounting transition). The guidance can be applied as of January 1, 2020. We are evaluating our contracts that are eligible for modification relief and may apply the elections prospectively as needed. We are currently evaluating what impact the guidance will have on our consolidated financial statements. |
Variable Interest Entities ("VI
Variable Interest Entities ("VIEs") | 6 Months Ended |
Jun. 30, 2021 | |
Variable Interest Entity Disclosure [Abstract] | |
Variable Interest Entities ("VIEs") | Variable Interest Entities ("VIEs") Our maximum risk of loss in VIEs in which we are not the primary beneficiary at June 30, 2021 is presented in the table below. $ in thousands Carrying Amount Company's Maximum Risk of Loss Non-Agency CMBS 63,800 63,800 Non-Agency RMBS 9,832 9,832 Investments in unconsolidated ventures 13,936 13,936 Total 87,568 87,568 Refer to Note 4 - "Mortgage-Backed and Credit Risk Transfer Securities" and Note 5 - "Other Assets" for additional details regarding these investments. |
Mortgage-Backed and Credit Risk
Mortgage-Backed and Credit Risk Transfer Securities | 6 Months Ended |
Jun. 30, 2021 | |
Investments, Debt and Equity Securities [Abstract] | |
Mortgage-Backed and Credit Risk Transfer Securities | Mortgage-Backed and Credit Risk Transfer Securities During the first half of 2020, we experienced unprecedented market conditions as a result of the COVID-19 pandemic and sold a substantial portion of our MBS and GSE CRT portfolio to generate liquidity and reduce leverage. We resumed investing in Agency RMBS in July 2020. The following tables summarize our MBS portfolio by asset type as of June 30, 2021 and December 31, 2020. June 30, 2021 $ in thousands Principal/ Notional Unamortized Amortized Unrealized Fair Period- end Weighted Average Yield (1) Agency RMBS: 30 year fixed-rate 8,381,884 257,610 8,639,494 3,336 8,642,830 2.04 % Total Agency RMBS pass-through 8,381,884 257,610 8,639,494 3,336 8,642,830 2.04 % Agency-CMO (2) 116,495 (101,995) 14,500 (299) 14,201 7.33 % Non-Agency CMBS 61,427 (4,070) 57,357 6,443 63,800 8.75 % Non-Agency RMBS (3)(4)(5) 521,837 (512,027) 9,810 22 9,832 10.02 % Total 9,081,643 (360,482) 8,721,161 9,502 8,730,663 2.10 % (1) Period-end weighted average yield is based on amortized cost as of June 30, 2021 and incorporates future prepayment and loss assumptions. (2) Agency collateralized mortgage obligation ("Agency-CMO") are interest-only securities ("Agency IO"). (3) Non-Agency RMBS is 64.5% fixed rate, 34.5% variable rate, and 1.0% floating rate based on fair value. Coupon payments on variable rate investments are based upon changes in the underlying Hybrid adjustable-rate mortgage ("ARM") loan coupons, while coupon payments on floating rate investments are based upon a spread to a reference index. (4) Of the total discount in non-Agency RMBS, $2.1 million is non-accretable (calculated using the principal/notional balance) based on estimated future cash flows of the securities. (5) Non-Agency RMBS includes interest-only securities ("non-Agency IO") which represent 98.2% of principal/notional balance, 47.0% of amortized cost and 30.0% of fair value. December 31, 2020 $ in thousands Principal/Notional Unamortized Amortized Allowance for Credit Losses Unrealized Fair Period- end Weighted Average Yield (1) Agency RMBS: 30 year fixed-rate 7,635,107 391,644 8,026,751 — 24,115 8,050,866 1.86 % Total Agency RMBS pass-through 7,635,107 391,644 8,026,751 — 24,115 8,050,866 1.86 % Agency-CMO (2) 19,634 (19,634) — — — — — % Non-Agency CMBS 112,549 (5,791) 106,758 (1,768) 4,593 109,583 9.40 % Non-Agency RMBS (3)(4)(5) 790,627 (779,660) 10,967 — 766 11,733 7.83 % Total 8,557,917 (413,441) 8,144,476 (1,768) 29,474 8,172,182 1.97 % (1) Period-end weighted average yield is based on amortized cost as of December 31, 2020 and incorporates future prepayment and loss assumptions. (2) All Agency-CMO are Agency IO. (3) Non-Agency RMBS is 67.3% fixed rate, 31.8% variable rate and 0.9% floating rate based on fair value. Coupon payments on variable rate investments are based upon changes in the underlying Hybrid ARM loan coupons, while coupon payments on floating rate investments are based upon a spread to a reference index. (4) Of the total discount in non-Agency RMBS, $2.1 million is non-accretable calculated using the principal/notional balance based on estimated future cash flows of the securities. (5) Non-Agency RMBS includes non-Agency IO which represent 98.8% of principal/notional balance, 49.3% of amortized cost and 41.5% of fair value. The following table presents the fair value of our available-for-sale securities and securities accounted for under the fair value option by asset type as of June 30, 2021 and December 31, 2020. We have elected the fair value option for all of our RMBS interest-only securities and our MBS purchased on or after September 1, 2016. As of June 30, 2021 and December 31, 2020, approximately 99% of our MBS are accounted for under the fair value option. June 30, 2021 December 31, 2020 $ in thousands Available-for-sale Securities Securities under Fair Value Option Total Available-for-sale Securities Securities under Fair Value Option Total Agency RMBS: 30 year fixed-rate — 8,642,830 8,642,830 — 8,050,866 8,050,866 Total RMBS Agency pass-through — 8,642,830 8,642,830 — 8,050,866 8,050,866 Agency-CMO — 14,201 14,201 — — — Non-Agency CMBS 63,800 — 63,800 109,583 — 109,583 Non-Agency RMBS 7,078 2,754 9,832 7,267 4,466 11,733 Total 70,878 8,659,785 8,730,663 116,850 8,055,332 8,172,182 The components of the carrying value of our MBS portfolio at June 30, 2021 and December 31, 2020 are presented below. Accrued interest receivable on our MBS portfolio, which is recorded within investment related receivable on our condensed consolidated balance sheets, was $17.3 million at June 30, 2021 (December 31, 2020: $15.4 million). June 30, 2021 $ in thousands MBS Interest-Only Securities Total Principal/notional balance 8,452,735 628,908 9,081,643 Unamortized premium 259,487 — 259,487 Unamortized discount (10,176) (609,793) (619,969) Gross unrealized gains (1) 33,332 45 33,377 Gross unrealized losses (1) (21,868) (2,007) (23,875) Fair value 8,713,510 17,153 8,730,663 December 31, 2020 $ in thousands MBS Interest-Only Securities Total Principal/notional balance 7,757,491 800,426 8,557,917 Unamortized premium 391,644 — 391,644 Unamortized discount (10,067) (795,018) (805,085) Allowance for credit losses (1,768) — (1,768) Gross unrealized gains (1) 34,539 103 34,642 Gross unrealized losses (1) (4,527) (641) (5,168) Fair value 8,167,312 4,870 8,172,182 (1) Gross unrealized gains and losses includes gains (losses) recognized in net income for securities accounted for under the fair value option as well as gains (losses) for available-for-sale securities which are recognized as adjustments to other comprehensive income. Realization occurs upon sale or settlement of such securities. Further detail on the components of our total gains (losses) on investments, net for the three and six months ended June 30, 2021 and 2020 is provided below in this Note 4. The following table summarizes our MBS portfolio according to estimated weighted average life classifications as of June 30, 2021 and December 31, 2020 . $ in thousands June 30, 2021 December 31, 2020 Less than one year 264 22,112 Greater than one year and less than five years 898,499 5,303,917 Greater than or equal to five years 7,831,900 2,846,153 Total 8,730,663 8,172,182 The following tables present the estimated fair value and gross unrealized losses of our MBS by length of time that such securities have been in a continuous unrealized loss position at June 30, 2021 and December 31, 2020. June 30, 2021 Less than 12 Months 12 Months or More Total $ in thousands Fair Unrealized Number Fair Unrealized Number Fair Unrealized Number Agency RMBS: 30 year fixed-rate 4,576,277 (21,868) 38 — — — 4,576,277 (21,868) 38 Total Agency RMBS pass-through 4,576,277 (21,868) 38 — — — 4,576,277 (21,868) 38 Agency-CMO 11,640 (335) 3 — — — 11,640 (335) 3 Non-Agency RMBS 2,620 (1,648) 10 14 (24) 4 2,634 (1,672) 14 Total (1) 4,590,537 (23,851) 51 14 (24) 4 4,590,551 (23,875) 55 (1) Fair value option has been elected for all securities in an unrealized loss position. December 31, 2020 Less than 12 Months 12 Months or More Total $ in thousands Fair Unrealized Number Fair Unrealized Number Fair Unrealized Number Agency RMBS: 30 year fixed-rate 1,496,279 (4,108) 20 — — — 1,496,279 (4,108) 20 Total Agency RMBS pass-through (1) 1,496,279 (4,108) 20 — — — 1,496,279 (4,108) 20 Non-Agency CMBS (2) 27,069 (419) 1 — — — 27,069 (419) 1 Non-Agency RMBS (3) 2,681 (438) 6 1,612 (203) 7 4,293 (641) 13 Total 1,526,029 (4,965) 27 1,612 (203) 7 1,527,641 (5,168) 34 (1) Fair value option has been elected for all Agency RMBS in an unrealized loss position. (2) Unrealized losses on non-Agency CMBS are included in accumulated other comprehensive income. These losses are not reflected in an allowance for credit losses based on a comparison of discounted expected cash flows to current amortized cost basis. (3) Fair value option has been elected for all non-Agency RMBS in an unrealized loss position. As of December 31, 2020, we had recorded an allowance for credit losses of $1.8 million on a single non-Agency CMBS on our condensed consolidated balance sheet. We recorded an $830,000 and a $1.8 million decrease in the provision for credit losses on our condensed consolidated statement of operations during the three and six months ended June 30, 2021, respectively. As of June 30, 2021, we do not have an allowance for credit losses recorded on our condensed consolidated balance sheet. We did not record any provisions for credit losses during the three and six months ended June 30, 2020. During the three and six months ended June 30, 2020, we recorded impairments of $6.3 million and $85.1 million, respectively, on our condensed consolidated statement of operations because we intended to sell or more likely than not would be required to sell the securities before recovery of amortized cost basis. The following table presents a roll-forward of our allowance for credit losses. Three Months Ended June 30, Six Months Ended June 30, $ in thousands 2021 2021 Beginning allowance for credit losses (830) (1,768) Additional increases or decreases to the allowance for credit losses on securities that had an allowance recorded in a previous period 830 1,768 Ending allowance for credit losses — — The following table summarizes the components of our total gain (loss) on investments, net for the three and six months ended June 30, 2021 and 2020. Three Months Ended June 30, Six Months Ended June 30, $ in thousands 2021 2020 2021 2020 Gross realized gains on sale of investments — 253,737 201 581,865 Gross realized losses on sale of investments (118,006) (658,476) (235,054) (990,889) Impairment of investments the Company intends to sell or more likely than not will be required to sell before recovery of amortized cost basis and other impairments — (6,287) — (85,121) Net unrealized gains and losses on MBS and GSE CRT accounted for under the fair value option 189,804 105,445 (22,108) (561,427) Net unrealized gains and losses on commercial loan and loan participation interest 822 3,023 (2,276) (2,469) Realized loss on loan participation interest — (3,808) — (3,808) Total gain (loss) on investments, net 72,620 (306,366) (259,237) (1,061,849) The following tables present components of interest income recognized on our MBS and GSE CRT portfolio for the three and six months ended June 30, 2021 and 2020. GSE CRT interest income excludes coupon interest associated with embedded derivatives of $1.1 million and $5.8 million for the three and six months ended June 30, 2020, respectively, that was recorded as realized and unrealized credit derivative income (loss), net. For the three months ended June 30, 2021 $ in thousands Coupon Net (Premium Interest Agency RMBS 50,003 (9,450) 40,553 Non-Agency CMBS 1,036 845 1,881 Non-Agency RMBS 467 (274) 193 Other 7 — 7 Total 51,513 (8,879) 42,634 For the three months ended June 30, 2020 $ in thousands Coupon Net (Premium Interest Agency RMBS 1,561 (894) 667 Agency CMBS 1,827 (78) 1,749 Non-Agency CMBS 20,444 4,473 24,917 Non-Agency RMBS 1,524 (178) 1,346 GSE CRT 1,500 (536) 964 Other (15) — (15) Total 26,841 2,787 29,628 For the six months ended June 30, 2021 $ in thousands Coupon Net (Premium Interest Agency RMBS 99,558 (21,934) 77,624 Non-Agency CMBS 2,341 1,723 4,064 Non-Agency RMBS 1,091 (724) 367 Other 13 — 13 Total 103,003 (20,935) 82,068 For the six months ended June 30, 2020 $ in thousands Coupon Net (Premium Interest Agency RMBS 107,439 (21,807) 85,632 Agency CMBS 35,822 (1,744) 34,078 Non-Agency CMBS 62,662 9,531 72,193 Non-Agency RMBS 12,284 2,520 14,804 GSE CRT 10,007 (2,286) 7,721 Other 736 — 736 Total 228,950 (13,786) 215,164 |
Other Assets
Other Assets | 6 Months Ended |
Jun. 30, 2021 | |
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | |
Other Assets | Other Assets The following table summarizes our other assets as of June 30, 2021 and December 31, 2020: $ in thousands June 30, 2021 December 31, 2020 Commercial loan, held-for-investment 20,822 23,098 Investments in unconsolidated ventures 13,936 16,408 Prepaid expenses and other assets 703 1,657 Total 35,461 41,163 In March 2021, we agreed to extend the contractual maturity of our commercial loan investment from February 2021 to February 2022 at the request of the borrower. The borrower continues to make current interest payments on the loan and posted additional cash reserves in connection with the loan modification. The loan had a principal balance of $23.9 million as of June 30, 2021 and December 31, 2020 and a weighted average coupon rate of 8.59% as of June 30, 2021 and 8.65% as of December 31, 2020. We account for this investment using the fair value option. We have invested in unconsolidated ventures that are managed by an affiliate of our Manager. The unconsolidated ventures invest in our target assets. Refer to Note 14 - "Commitments and Contingencies" for additional details regarding our commitments to these unconsolidated ventures. |
Borrowings
Borrowings | 6 Months Ended |
Jun. 30, 2021 | |
Debt Disclosure [Abstract] | |
Borrowings | Borrowings We have historically financed the majority of our investment portfolio through repurchase agreements and secured loans. We fully repaid our secured loans during the year ended December 31, 2020. The following tables summarize certain characteristics of our borrowings at June 30, 2021 and December 31, 2020. Refer to Note 7 - "Collateral Positions" for collateral pledged and held under our repurchase agreements. $ in thousands June 30, 2021 Weighted Weighted Average Average Remaining Amount Interest Maturity Outstanding Rate (days) Repurchase Agreements - Agency RMBS 7,851,204 0.10 % 52 Total Borrowings 7,851,204 0.10 % 52 $ in thousands December 31, 2020 Weighted Weighted Average Average Remaining Amount Interest Maturity Outstanding Rate (days) Repurchase Agreements - Agency RMBS 7,228,699 0.21 % 14 Total Borrowings 7,228,699 0.21 % 14 Repurchase Agreements In the first half of 2020, we experienced unprecedented market conditions as a result of the COVID-19 pandemic. We received an unusually high number of margin calls from our repurchase agreement counterparties during March 2020 following significant spread widening in both Agency and non-Agency securities. As a result, we were unable to meet margin calls and were not in compliance with all of the financial covenants of our repurchase agreements as of March 31, 2020. While certain of our repurchase agreement counterparties permitted our repurchase agreements to remain outstanding while we were not in compliance, other counterparties seized and sold securities that we had posted as collateral for our repurchase agreements. As of May 7, 2020, we repaid all of our repurchase agreements that may have been in default. Gains and losses associated with the termination of these repurchase agreements during the three and six months ended June 30, 2020 are reported as net gain (loss) on extinguishment of debt in our condensed consolidated statement of operations. We resumed financing the purchase of Agency RMBS with repurchase agreements in July 2020. These repurchase agreements generally bear interest at a contractually agreed upon rate and have maturities of approximately one to six months. Repurchase agreements are accounted for as secured borrowings since we maintain effective control of the financed assets. The repurchase agreements are subject to certain financial covenants. We were in compliance with all of these covenants as of June 30, 2021. Secured Loans During the year ended December 31, 2020, IAS Services LLC, our former wholly-owned captive insurance subsidiary, fully repaid its outstanding secured loans from the Federal Home Loan Bank of Indianapolis ("FHLBI"). |
Collateral Positions
Collateral Positions | 6 Months Ended |
Jun. 30, 2021 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Collateral Positions | Collateral Positions The following table summarizes the fair value of collateral that we pledged and held under our repurchase agreements, interest rate swaps, currency forward contracts and to-be-announced securities forward contracts ("TBAs") as of June 30, 2021 and December 31, 2020. Refer to Note 2 - "Summary of Significant Accounting Policies - Fair Value Measurements" of our consolidated financial statements included in our Annual Report on Form 10-K for the year ended December 31, 2020 for a description of how we determine fair value. Agency RMBS collateral pledged is included in mortgage-backed securities on our condensed consolidated balance sheets. Cash collateral pledged on centrally cleared interest rate swaps and currency forward contracts is classified as restricted cash on our condensed consolidated balance sheets. Cash collateral pledged on repurchase agreements and TBAs accounted for as derivatives is classified as due from counterparties on our condensed consolidated balance sheets. Cash collateral held that is not restricted for use is included in cash and cash equivalents on our condensed consolidated balance sheets and the liability to return the collateral is included in collateral held payable. Non-cash collateral held is only recognized if the counterparty defaults or if we sell the pledged collateral. As of June 30, 2021 and December 31, 2020, we did not recognize any non-cash collateral held on our condensed consolidated balance sheets. $ in thousands As of Collateral Pledged June 30, 2021 December 31, 2020 Repurchase Agreements: Agency RMBS 8,248,952 7,614,935 Cash 300 700 Total repurchase agreements collateral pledged 8,249,252 7,615,635 Interest Rate Swaps, Currency Forward Contracts and TBAs: Cash — 378 Restricted cash 353,386 244,573 Total interest rate swaps, currency forward contracts and TBAs collateral pledged 353,386 244,951 Total collateral pledged: Agency RMBS 8,248,952 7,614,935 Cash 300 1,078 Restricted cash 353,386 244,573 Total collateral pledged 8,602,638 7,860,586 As of Collateral Held June 30, 2021 December 31, 2020 Repurchase Agreements: Cash — 1,916 Non-cash collateral 10,829 4,226 Total repurchase agreements collateral held 10,829 6,142 Interest Rate Swaps, Currency Forward Contracts and TBAs: Cash 310 1,630 Total interest rate swaps, currency forward contracts and TBAs collateral held 310 1,630 Total collateral held: Cash 310 3,546 Non-cash collateral 10,829 4,226 Total collateral held 11,139 7,772 Repurchase Agreements Collateral pledged with our repurchase agreement counterparties is segregated in our books and records. The repurchase agreement counterparties have the right to resell and repledge the collateral posted but have the obligation to return the pledged collateral, or substantially the same collateral if agreed to by us, upon maturity of the repurchase agreement. Under the repurchase agreements, the respective lender retains the contractual right to mark the underlying collateral to fair value. We would be required to provide additional collateral to fund margin calls if the value of pledged assets declined. We intend to maintain a level of liquidity that will enable us to meet margin calls. Our repurchase agreement collateral pledged ratio (MBS pledged as collateral/amount outstanding) was 105% as of June 30, 2021 (December 31, 2020: 105%). Interest Rate Swaps As of June 30, 2021 and December 31, 2020, all of our interest rate swaps were centrally cleared by a registered clearing organization such as the Chicago Mercantile Exchange ("CME") and LCH Limited ("LCH") through a Futures Commission Merchant ("FCM"). We are required to pledge initial margin and daily variation margin for our centrally cleared interest rate swaps that is based on the fair value of our contracts as determined by our FCM. Collateral pledged with our FCM is segregated in our books and records and can be in the form of cash or securities. Daily variation margin for centrally cleared interest rate swaps is characterized as settlement of the derivative itself rather than collateral and is recorded as gain (loss) on derivative instruments, net in our condensed consolidated statements of operations. Certain of our FCM agreements include cross default provisions. TBAs and Currency Forward Contracts |
Derivatives and Hedging Activit
Derivatives and Hedging Activities | 6 Months Ended |
Jun. 30, 2021 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivatives and Hedging Activities | Derivatives and Hedging Activities The following table summarizes changes in the notional amount of our derivative instruments during 2021: $ in thousands Notional Amount as of December 31, 2020 Additions Settlement, Notional Amount as of June 30, 2021 Interest Rate Swaps (1) 6,300,000 1,500,000 (500,000) 7,300,000 Interest Rate Swaptions — 1,000,000 (1,000,000) — Currency Forward Contracts 33,084 34,870 (49,934) 18,020 TBA Purchase Contracts 1,700,000 13,825,000 (14,025,000) 1,500,000 TBA Sale Contracts — (14,025,000) 14,025,000 — Total 8,033,084 2,334,870 (1,549,934) 8,818,020 (1) Notional amount as of June 30, 2021 excludes $1.3 billion of interest rate swaps with forward start dates. Refer to Note 7 - "Collateral Positions" for further information regarding our collateral pledged to and received from our derivative counterparties. Interest Rate Swaps Our repurchase agreements are usually settled on a short-term basis ranging from one Amounts recorded in accumulated other comprehensive income ("AOCI") before we discontinued cash flow hedge accounting for our interest rate swaps are reclassified to interest expense on repurchase agreements on the condensed consolidated statements of operations as interest is accrued and paid on the related repurchase agreements over the remaining life of the interest rate swap agreements. We reclassified $5.4 million and $10.8 million as a decrease (June 30, 2020: $4.5 million and $14.6 million as a decrease) to interest expense for the three and six months ended June 30, 2021, respectively. We increased the amount of gains and losses reclassified as a decrease to interest expense during the three and six months ended June 30, 2020 by $2.7 million because it was probable that the original forecasted repurchase agreement transactions would not occur by the end of the originally specified time period . During the next 12 months, we estimate that $21.2 million will be reclas sified as a decrease to interest expense, repurchase agreements. As of June 30, 2021, $41.3 million (December 31, 2020: $52.1 million) of unrealized gains on discontinued cash flow hedges, net are still included in accumulated other comprehensive income and will be reclassified as a decrease to interest expense, repurchase agreements over a period of time through December 15, 2023. As of June 30, 2021 and December 31, 2020, we had interest rate swaps whereby we pay interest at a fixed rate and receive floating interest based on 1-month LIBOR with the following maturities outstand ing, excluding interest rate swaps with forward start dates. $ in thousands As of June 30, 2021 Maturities Notional Amount Weighted Average Fixed Pay Rate Weighted Average Floating Receive Rate Weighted Average Years to Maturity 3 to 5 years 2,250,000 0.20 % 0.09 % 3.7 5 to 7 years 1,775,000 0.43 % 0.08 % 6.2 7 to 10 years 2,275,000 0.60 % 0.08 % 8.7 Total 6,300,000 0.41 % 0.09 % 6.2 $ in thousands As of December 31, 2020 Maturities Notional Amount Weighted Average Fixed Pay Rate Weighted Average Floating Receive Rate Weighted Average Years to Maturity 3 to 5 years 2,250,000 0.20 % 0.15 % 4.2 5 to 7 years 1,775,000 0.43 % 0.15 % 6.7 7 to 10 years 2,275,000 0.60 % 0.15 % 9.2 Total 6,300,000 0.41 % 0.15 % 6.7 As of June 30, 2021, we held $1.3 billion notional amount of interest rate swaps with forward start dates that will receive floating interest based on 1-month LIBOR with a weighted average maturity of 21.2 years and a weighted average fixed pay rate of 1.29%. We did not hold any interest rate swaps with forward start dates as of December 31, 2020. As of June 30, 2021, we had interest rate swaps whereby we pay floating interest based on 1-month LIBOR and receive interest at a fixed rate with the following maturities outstanding. We did not hold any such interest rate swaps as of December 31, 2020. $ in thousands As of June 30, 2021 Maturities Notional Amount Weighted Average Floating Pay Rate Weighted Average Fixed Receive Rate Weighted Average Years to Maturity Less than 3 years 1,000,000 0.10 % 0.37 % 2.9 Total 1,000,000 0.10 % 0.37 % 2.9 Swaptions and Currency Forward Contracts We periodically purchase interest rate swaptions to help mitigate the potential impact of increases or decreases in interest rates on the performance of our Agency RMBS portfolio (referred to as "convexity risk"). The interest rate swaptions provide us the option to enter into interest rate swap agreements for a predetermined notional amount, stated term and pay and receive interest rates in the future. The premium paid for interest rate swaptions is reported as a derivative asset in our condensed consolidated balance sheets. The premium is valued at an amount equal to the fair value of the swaption that would have the effect of closing the position adjusted for nonperformance risk, if any. The difference between the premium and the fair value of the swaption is reported in gain (loss) on derivative instruments, net in our condensed consolidated statements of operations. If an interest rate swaption expires unexercised, the loss on the interest rate swaption would equal the premium paid. If we sell or exercise an interest rate swaption, the realized gain or loss on the interest rate swaption would equal the difference between the cash or the fair value of the underlying interest rate swap received and the premium paid. We use currency forward contracts to help mitigate the potential impact of changes in foreign currency exchange rates on our investments denominated in foreign currencies. We recognize realized and unrealized gains and losses associated with the purchases or sales of currency forward contracts in gain (loss) on derivative instruments, net in our condensed consolidated statements of operations. As of June 30, 2021, we had $18.0 million (December 31, 2020: $33.1 million) of notional amount of currency forward contracts related to an investment in an unconsolidated venture denominated in Euro. Credit Derivatives Our GSE CRTs purchased prior to August 24, 2015 were accounted for as hybrid financial instruments consisting of a debt host contract and an embedded credit derivative. Embedded derivatives associated with GSE CRTs were recorded within mortgage-backed and credit risk transfer securities, at fair value, on the condensed consolidated balance sheets. TBAs We primarily use TBAs that we do not intend to physically settle on the contractual settlement date as an alternative means of investing in and financing Agency RMBS. The following table summarizes certain characteristics of our TBAs accounted for as derivatives as of June 30, 2021 and December 31, 2020. $ in thousands As of June 30, 2021 Notional Amount Implied Cost Basis Implied Market Value Net Carrying Value TBA Purchase Contracts 1,500,000 1,547,465 1,551,445 3,980 $ in thousands As of December 31, 2020 Notional Amount Implied Cost Basis Implied Market Value Net Carrying Value TBA Purchase Contracts 1,700,000 1,772,211 1,782,104 9,893 Tabular Disclosure of the Effect of Derivative Instruments on the Balance Sheet The table below presents the fair value of our derivative financial instruments, as well as their classification on the condensed consolidated balance sheets as of June 30, 2021 and December 31, 2020. $ in thousands Derivative Assets Derivative Liabilities As of June 30, 2021 As of December 31, 2020 As of June 30, 2021 As of December 31, 2020 Balance Fair Value Fair Value Balance Fair Value Fair Value Interest Rate Swaps Asset — — Interest Rate Swaps Liability 17,242 5,537 Currency Forward Contracts 437 111 Currency Forward Contracts 20 807 TBAs 3,980 9,893 TBAs — — Total Derivative Assets 4,417 10,004 Total Derivative Liabilities 17,262 6,344 Tabular Disclosure of the Effect of Derivative Instruments on the Income Statement The table below presents the effect of our credit derivatives on the condensed consolidated statements of operations for the three and six months ended June 30, 2020. $ in thousands Three months ended June 30, 2020 Derivative Realized gain (loss), net GSE CRT embedded derivative coupon interest Unrealized gain (loss), net Realized and unrealized credit derivative income (loss), net GSE CRT Embedded Derivatives (16,414) 1,127 12,549 (2,738) $ in thousands Six months ended June 30, 2020 Derivative Realized gain (loss), net GSE CRT embedded derivative coupon interest Unrealized gain (loss), net Realized and unrealized credit derivative income (loss), net GSE CRT Embedded Derivatives (14,131) 5,845 (27,504) (35,790) The following tables summarizes the effect of interest rate swaps, interest rate swaptions, currency forward contracts and TBAs reported in gain (loss) on derivative instruments, net on the condensed consolidated statements of operations for the three and six months ended June 30, 2021 and 2020: $ in thousands Three Months Ended June 30, 2021 Derivative Realized gain (loss) on derivative instruments, net Contractual net interest income (expense) Unrealized gain (loss), net Gain (loss) on derivative instruments, net Interest Rate Swaps (166,365) (4,572) (32,786) (203,723) Currency Forward Contracts (13) — (142) (155) TBAs 10,431 — 7,163 17,594 Total (155,947) (4,572) (25,765) (186,284) $ in thousands Three Months Ended June 30, 2020 Derivative Realized gain (loss) on derivative instruments, net Contractual net interest income (expense) Unrealized gain (loss), net Gain (loss) on derivative instruments, net Currency Forward Contracts (138) — (205) (343) Total (138) — (205) (343) $ in thousands Six Months Ended June 30, 2021 Derivative Realized gain (loss) on derivative instruments, net Contractual net interest income (expense) Unrealized gain (loss), net Gain (loss) on derivative instruments, net Interest Rate Swaps 161,162 (9,121) (11,705) 140,336 Interest Rate Swaptions (553) — — (553) Currency Forward Contracts (552) — 1,113 561 TBAs (33,754) — (5,913) (39,667) Total 126,303 (9,121) (16,505) 100,677 |
Offsetting Assets and Liabiliti
Offsetting Assets and Liabilities | 6 Months Ended |
Jun. 30, 2021 | |
Offsetting [Abstract] | |
Offsetting Assets and Liabilities | Offsetting Assets and Liabilities Certain of our repurchase agreements and derivative transactions are governed by underlying agreements that generally provide for a right of offset under master netting arrangements (or similar agreements) in the event of default or in the event of bankruptcy of either party to the transactions. Assets and liabilities subject to such arrangements are presented on a gross basis in the condensed consolidated balance sheets. The following tables present information about the assets and liabilities that are subject to master netting agreements (or similar agreements) and can potentially be offset on our condensed consolidated balance sheets at June 30, 2021 and December 31, 2020. The daily variation margin payment for centrally cleared interest rate swaps is characterized as settlement of the derivative itself rather than collateral. As of June 30, 2021, our derivative liability of $17.2 million (December 31, 2020: derivative liability of $5.5 million) related to centrally cleared interest rate swaps is not included in the table below as a result of this characterization of daily variation margin. As of June 30, 2021 Gross Amounts Not Offset with Financial Assets (Liabilities) in the Balance Sheets $ in thousands Gross Gross Net Amounts of Assets (Liabilities) Presented in the Financial Cash Collateral Net Amount Assets Derivatives (1) (2) 4,417 — 4,417 (20) (310) 4,087 Total Assets 4,417 — 4,417 (20) (310) 4,087 Liabilities Derivatives (1) (2) (20) — (20) 20 — — Repurchase Agreements (3) (7,851,204) — (7,851,204) 7,851,204 — — Total Liabilities (7,851,224) — (7,851,224) 7,851,224 — — As of December 31, 2020 Gross Amounts Not Offset with Financial Assets (Liabilities) in the Balance Sheets $ in thousands Gross Gross Net Amounts of Assets (Liabilities) Presented in the Financial Cash Collateral Net Amount Assets Derivatives (1) (2) 10,004 — 10,004 (111) (1,630) 8,263 Total Assets 10,004 — 10,004 (111) (1,630) 8,263 Liabilities Derivatives (1) (2) (807) — (807) 111 610 (86) Repurchase Agreements (3) (7,228,699) — (7,228,699) 7,228,699 — — Total Liabilities (7,229,506) — (7,229,506) 7,228,810 610 (86) (1) Amounts represent derivative assets and derivative liabilities which could potentially be offset against other derivative assets, derivative liabilities and cash collateral pledged or received. (2) Cash collateral pledged by us on our currency forward contracts, TBAs and centrally cleared interest rate swaps was $353.4 million and $245.0 million as of June 30, 2021 and December 31, 2020, respectively. Cash collateral pledged on our centrally cleared interest rate swaps is settled against the fair value of these swaps and is therefore excluded from the tables above. We held cash collateral on our derivatives of $310,000 and $1.6 million at June 30, 2021 and December 31, 2020, respectively. (3) The fair value of securities pledged against our borrowings under repurchase agreements was $8.2 billion and $7.6 billion at June 30, 2021 and December 31, 2020, respectively. We pledged cash collateral of $300,000 and $700,000 under repurchase agreements as of June 30, 2021 and December 31, 2020, respectively. We held cash collateral of $1.9 million under repurchase agreements as of December 31, 2020. We did not hold cash collateral under repurchase agreements as of June 30, 2021. |
Fair Value of Financial Instrum
Fair Value of Financial Instruments | 6 Months Ended |
Jun. 30, 2021 | |
Fair Value Disclosures [Abstract] | |
Fair Value of Financial Instruments | Fair Value of Financial Instruments A three-level valuation hierarchy exists for disclosure of fair value measurements based upon the transparency of inputs to the valuation of an asset or liability as of the measurement date. Observable inputs reflect readily obtainable data from independent sources, while unobservable inputs reflect our market assumptions. The three levels are defined as follows: • Level 1 Inputs – Quoted prices for identical instruments in active markets. • Level 2 Inputs – Quoted prices for similar instruments in active markets; quoted prices for identical or similar instruments in markets that are not active; and model-derived valuations whose inputs are observable or whose significant value drivers are observable. • Level 3 Inputs – Instruments with primarily unobservable value drivers. The following tables present our assets and liabilities measured at fair value on a recurring basis. June 30, 2021 Fair Value Measurements Using: $ in thousands Level 1 Level 2 Level 3 NAV as a practical expedient (2) Total at Assets: Mortgage-backed securities (1) — 8,730,663 — — 8,730,663 Derivative assets — 4,417 — — 4,417 Other assets (3) — — 20,822 13,936 34,758 Total assets — 8,735,080 20,822 13,936 8,769,838 Liabilities: Derivative liabilities — 17,262 — — 17,262 Total liabilities — 17,262 — — 17,262 December 31, 2020 Fair Value Measurements Using: $ in thousands Level 1 Level 2 Level 3 NAV as a practical expedient (2) Total at Assets: Mortgage-backed securities (1) — 8,172,182 — — 8,172,182 Derivative assets — 10,004 — — 10,004 Other assets (3) — — 23,098 16,408 39,506 Total assets — 8,182,186 23,098 16,408 8,221,692 Liabilities: Derivative liabilities — 6,344 — — 6,344 Total liabilities — 6,344 — — 6,344 (1) For more detail about the fair value of our MBS, refer to Note 4 - "Mortgage-Backed and Credit Risk Transfer Securities." (2) Investments in unconsolidated ventures are valued using the net asset value ("NAV") as a practical expedient and are not subject to redemption, although investors may sell or transfer their interest at the approval of the general partner of the underlying funds. As of June 30, 2021 and December 31, 2020, the weighted average remaining term of our investments in unconsolidated ventures was 1.2 years and 1.5 years, respectively. (3) Includes $20.8 million and $23.1 million of a commercial loan as of June 30, 2021 and December 31, 2020, respectively. We value the loan based on a third party appraisal. The following table shows a reconciliation of the beginning and ending fair value measurements of our GSE CRT embedded derivatives, which we have valued utilizing Level 3 inputs: Three Months Ended June 30, Six Months Ended June 30, $ in thousands 2020 2020 Beginning balance (29,772) 10,281 Sales and settlements 16,414 14,131 Total net credit derivative gains (losses) included in net income: Realized credit derivative gains (losses), net (16,414) (14,131) Unrealized credit derivative gains (losses), net (1) 12,549 (27,504) Ending balance (17,223) (17,223) (1) Includes $4.8 million and $17.6 million for the three and six months ended June 30, 2020, respectively, of unrealized losses attributable to GSE CRT embedded derivatives that were still held as of June 30, 2020. The following table shows a reconciliation of the beginning and ending fair value measurements of our loan participation interest, which we have valued utilizing Level 3 inputs: Three Months Ended June 30, Six Months Ended June 30, $ in thousands 2020 2020 Beginning balance 21,577 44,654 Repayments — (19,269) Sales (21,577) (21,577) Total net gains and losses included in net income: Realized losses (3,808) (3,808) Net unrealized gains (losses) 3,808 — Ending balance — — Realized and unrealized gains and losses on our loan participation interest were included in gain (loss) on investments, net in our condensed consolidated statements of operations. The following table shows a reconciliation of the beginning balance of our commercial loan and ending balance at fair value, which we have valued utilizing Level 3 inputs: Three Months Ended June 30, Six Months Ended June 30, $ in thousands 2021 2020 2021 2020 Beginning balance 20,000 22,577 23,098 24,055 Cumulative effect of adoption of new accounting principle — — — 342 Repayments — — — (136) Total net unrealized gains (losses) included in net income: Unrealized gains (losses) 822 (785) (2,276) (2,469) Ending balance 20,822 21,792 20,822 21,792 Unrealized gains and losses on our commercial loan are included in gain (loss) on investments, net in our condensed consolidated statements of operations. We elected the fair value option for our commercial loan on January 1, 2020 when we implemented the new accounting guidance for how entities report credit losses for assets measured at amortized cost. The following table summarizes the significant unobservable input used in the fair value measurement of our commercial loan: Fair Value at Valuation Unobservable $ in thousands June 30, 2021 Technique Input Rate Commercial Loan 20,822 Discounted Cash Flow Discount rate 30.4 % Fair Value at Valuation Unobservable $ in thousands December 31, 2020 Technique Input Rate Commercial Loan 23,098 Discounted Cash Flow Discount rate 29.9 % The following table presents the carrying value and estimated fair value of our financial instruments that are not carried at fair value on the condensed consolidated balance sheets at June 30, 2021 and December 31, 2020: June 30, 2021 December 31, 2020 $ in thousands Carrying Estimated Carrying Estimated Financial Liabilities Repurchase agreements 7,851,204 7,850,862 7,228,699 7,228,719 Total 7,851,204 7,850,862 7,228,699 7,228,719 The following describes our methods for estimating the fair value for financial instruments not carried at fair value on the condensed consolidated balance sheets. • The estimated fair value of repurchase agreements is a Level 3 fair value measurement based on an expected present value technique. This method discounts future estimated cash flows using rates we determined best reflect current market interest rates that would be offered for repurchase agreements with similar characteristics and credit quality. |
Related Party Transactions
Related Party Transactions | 6 Months Ended |
Jun. 30, 2021 | |
Related Party Transactions [Abstract] | |
Related Party Transactions | Related Party Transactions Our Manager is at all times subject to the supervision and oversight of our Board of Directors and has only such functions and authority as we delegate to it. Under the terms of our management agreement, our Manager and its affiliates provide us with our management team, including our officers and appropriate support personnel. Each of our officers is an employee of our Manager or one of its affiliates. We do not have any employees. Our Manager is not obligated to dedicate any of its employees exclusively to us, nor is our Manager obligated to dedicate any specific portion of time to our business. During the three and six months ended June 30, 2021, we reimbursed our Manager $261,000 and $559,000 (June 30, 2020: $286,000 and $558,000) for costs of support personnel, respectively. We invested $1.9 million in money market or mutual funds managed by affiliates of our Manager as of December 31, 2020. The investments are reported as cash and cash equivalents on our condensed consolidated balance sheets as they are highly liquid and have original or remaining maturities of three months or less when purchased. We did not have any investments in money market of mutual funds managed by affiliates of our Manager as of June 30, 2021. Management Fee Our management fee is equal to 1.50% of our stockholders' equity per annum. For purposes of calculating the management fee, stockholders' equity is calculated as average month-end stockholders' equity for the prior calendar quarter as determined in accordance with U.S. GAAP. Stockholders' equity may exclude one-time events due to changes in U.S. GAAP and certain non-cash items upon approval by a majority of our independent directors. We do not pay any management fees on our investments in unconsolidated ventures that are managed by an affiliate of our Manager. Expense Reimbursement We are required to reimburse our Manager for operating expenses incurred on our behalf, including directors and officers insurance, accounting services, auditing and tax services, filing fees, and miscellaneous general and administrative costs. Our reimbursement obligation is not subject to any dollar limitation. The following table summarizes the costs incurred on our behalf by our Manager for the three and six months ended June 30, 2021 and 2020. Three Months Ended June 30, Six Months Ended June 30, $ in thousands 2021 2020 2021 2020 Incurred costs, prepaid or expensed 1,696 2,950 2,853 5,164 Incurred costs, charged against equity as a cost of raising capital 315 165 392 227 Total incurred costs, originally paid by our Manager 2,011 3,115 3,245 5,391 |
Stockholders' Equity
Stockholders' Equity | 6 Months Ended |
Jun. 30, 2021 | |
Equity [Abstract] | |
Stockholders' Equity | Stockholders’ Equity Preferred Stock On June 16, 2021 we redeemed all issued and outstanding shares of our Series A Preferred Stock for $140.0 million plus accrued and unpaid dividends. The cash redemption price for each share of Series A Preferred Stock was $25.00. The excess of the consideration transferred over carrying value is accounted for as a deemed dividend and resulted in a reduction of $4.7 million in net income (loss) attributable to common stockholders during the three and six months ended June 30, 2021. Prior to redemption, holders of our Series A Preferred Stock were entitled to receive dividends at an annual rate of 7.75% of the liquidation preference of $25.00 per share or $1.9375 per share per annum. Dividends were cumulative and payable quarterly in arrears. Holders of our Series B Preferred Stock are entitled to receive dividends at an annual rate of 7.75% of the liquidation preference of $25.00 per share or $1.9375 per share per annum until December 27, 2024. After December 27, 2024, holders are entitled to receive dividends at a floating rate equal to three-month LIBOR plus a spread of 5.18% of the $25.00 liquidation preference per annum. Dividends are cumulative and payable quarterly in arrears. Holders of our Series C Preferred Stock are entitled to receive dividends at an annual rate of 7.50% of the liquidation preference of $25.00 per share or $1.875 per share per annum until September 27, 2027. After September 27, 2027, holders are entitled to receive dividends at a floating rate equal to three-month LIBOR plus a spread of 5.289% of the $25.00 liquidation preference per annum. Dividends are cumulative and payable quarterly in arrears. We have the option to redeem shares of our Series B Preferred Stock after December 27, 2024 and shares of our Series C Preferred Stock after September 27, 2027 for $25.00 per share, plus any accumulated and unpaid dividends through the date of the redemption. Shares of Series B and Series C Preferred Stock are not redeemable, convertible into or exchangeable for any other property or any other securities of the Company before those times, except under circumstances intended to preserve our qualification as a REIT or upon the occurrence of a change in control. As of June 30, 2021, we may sell up to 5,500,000 shares of our preferred stock from time to time in at-the-market or privately negotiated transactions under an equity distribution agreement with a placement agent. These shares are registered with the SEC under our shelf registration statement (as amended and/or supplemented). We have not sold any shares of preferred stock under equity distribution agreements. Common Stock In February 2021, we completed a public offering of 27,600,000 shares of common stock at the price of $3.75 per share. Total net proceeds were approximately $103.1 million after deducting offering expenses. In June 2021, we completed a public offering of 43,125,000 shares of common stock at the price of $3.39 per share. Total net proceeds were approximately $145.9 million after deducting offering expenses. As of June 30, 2021, we may sell up to 22,060,000 shares of our common stock from time to time in at-the-market or privately negotiated transactions under an equity distribution agreement with a placement agent. These shares are registered with the SEC under our shelf registration statement (as amended and/or supplemented). During the six months ended June 30, 2021, we sold 15,500,000 shares under our equity distribution agreement for proceeds of $57.8 million, net of approximately $831,000 in commissions and fees. We did not sell any shares of common stock under equity distribution agreements during the three months ended June 30, 2021 or the three and six months ended June 30, 2020. In May 2021, we granted 127,115 restricted shares of common stock to our independent directors. The restricted shares will become unrestricted shares of common stock on the first anniversary of the grant date unless forfeited, subject to certain conditions that accelerate vesting. Share Repurchase Program During the three and six months ended June 30, 2021 and 2020, we did not repurchase any shares of our common stock. As of June 30, 2021, we had authority to purchase 18,163,982 shares of our common stock through our share repurchase program. Accumulated Other Comprehensive Income The following tables present the components of total other comprehensive income (loss), net and accumulated other comprehensive income ("AOCI") for the three and six months ended June 30, 2021 and 2020. The tables exclude gains and losses on MBS and GSE CRTs that are accounted for under the fair value option. Three Months Ended June 30, 2021 $ in thousands Equity method investments Available-for-sale securities Derivatives and hedging Total Total other comprehensive income (loss) Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net — 1,155 — 1,155 Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — (5,429) (5,429) Currency translation adjustments on investment in unconsolidated venture (632) — — (632) Total other comprehensive income (loss) (632) 1,155 (5,429) (4,906) AOCI balance at beginning of period 1,108 6,974 46,745 54,827 Total other comprehensive income (loss) (632) 1,155 (5,429) (4,906) AOCI balance at end of period 476 8,129 41,316 49,921 Three Months Ended June 30, 2020 $ in thousands Equity method investments Available-for-sale securities Derivatives and hedging Total Total other comprehensive income (loss) Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net — (53,271) — (53,271) Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net — 34,782 — 34,782 Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — (4,503) (4,503) Currency translation adjustments on investment in unconsolidated venture (388) — — (388) Total other comprehensive income (loss) (388) (18,489) (4,503) (23,380) AOCI balance at beginning of period (165) 64,053 65,840 129,728 Total other comprehensive income (loss) (388) (18,489) (4,503) (23,380) AOCI balance at end of period (553) 45,564 61,337 106,348 Six Months Ended June 30, 2021 $ in thousands Equity method investments Available-for-sale securities Derivatives and hedging Total Total other comprehensive income/(loss) Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net — 2,136 — 2,136 Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — (10,797) (10,797) Currency translation adjustments on investment in unconsolidated venture (23) — — (23) Total other comprehensive income/(loss) (23) 2,136 (10,797) (8,684) AOCI balance at beginning of period 499 5,993 52,113 58,605 Total other comprehensive income/(loss) (23) 2,136 (10,797) (8,684) AOCI balance at end of period 476 8,129 41,316 49,921 Six Months Ended June 30, 2020 $ in thousands Equity method investments Available-for-sale securities Derivatives and hedging Total Total other comprehensive income/(loss) Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net — (239,876) — (239,876) Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net — 71,739 — 71,739 Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — (14,570) (14,570) Currency translation adjustments on investment in unconsolidated venture 92 — — 92 Total other comprehensive income/(loss) 92 (168,137) (14,570) (182,615) AOCI balance at beginning of period (645) 213,701 75,907 288,963 Total other comprehensive income/(loss) 92 (168,137) (14,570) (182,615) AOCI balance at end of period (553) 45,564 61,337 106,348 Amounts recorded in AOCI before we discontinued cash flow hedge accounting for our interest rate swaps are reclassified to interest expense on repurchase agreements on the condensed consolidated statements of operations as interest is accrued and paid on the related repurchase agreements over the remaining original life of the interest rate swap agreements. Dividends The table below summarizes the dividends we declared during the six months ended June 30, 2021 and 2020: $ in thousands, except per share amounts Dividends Declared Series A Preferred Stock Per Share In Aggregate Date of Payment 2021 (1) February 19, 2021 0.4844 2,713 April 26, 2021 2020 June 17, 2020 0.4844 2,712 July 27, 2020 March 17, 2020 0.4844 2,713 May 22, 2020 (1) On June 16, 2021, we paid a final dividend of $0.2691 per share ($1.5 million in aggregate) in connection with the redemption of our Series A Preferred Stock. $ in thousands, except per share amounts Dividends Declared Series B Preferred Stock Per Share In Aggregate Date of Payment 2021 May 4, 2021 0.4844 3,004 June 28, 2021 February 19, 2021 0.4844 3,003 March 29, 2021 2020 May 9, 2020 0.4844 3,004 June 29, 2020 February 18, 2020 0.4844 3,003 May 22, 2020 $ in thousands, except per share amounts Dividends Declared Series C Preferred Stock Per Share In Aggregate Date of Payment 2021 May 4, 2021 0.46875 5,390 June 28, 2021 February 19, 2021 0.46875 5,391 March 29, 2021 2020 May 9, 2020 0.46875 5,390 June 29, 2020 February 18, 2020 0.46875 5,391 May 22, 2020 $ in thousands, except per share amounts Dividends Declared Common Stock Per Share In Aggregate Date of Payment 2021 June 23, 2021 0.09 26,071 July 27, 2021 March 26, 2021 0.09 22,176 April 27, 2021 2020 June 17, 2020 0.02 3,626 July 28, 2020 March 17, 2020 0.50 82,483 June 30, 2020 |
Earnings (Loss) per Common Shar
Earnings (Loss) per Common Share | 6 Months Ended |
Jun. 30, 2021 | |
Earnings Per Share [Abstract] | |
Earnings (Loss) per Common Share | Earnings (Loss) per Common Share Earnings (loss) per share for the three and six months ended June 30, 2021 and 2020 is computed as follows: Three Months Ended June 30, Six Months Ended June 30, In thousands, except per share amounts 2021 2020 2021 2020 Numerator (Income) Basic Earnings: Net income (loss) available to common stockholders (88,340) (299,945) (108,722) (1,927,244) Denominator (Weighted Average Shares) Basic Earnings: Shares available to common stockholders 260,140 166,943 242,147 161,857 Dilutive Shares 260,140 166,943 242,147 161,857 Net income (loss) per share: Net income (loss) attributable to common stockholders Basic (0.34) (1.80) (0.45) (11.91) Diluted (0.34) (1.80) (0.45) (11.91) The following potential weighted average common shares were excluded from diluted earnings per share for the three and six months ended June 30, 2021 as the effect would be antidilutive: 20,826 and 17,225 for restricted stock awards, respectively (June 30, 2020: 10,672 and 11,366 for restricted stock awards, respectively). |
Commitments and Contingencies
Commitments and Contingencies | 6 Months Ended |
Jun. 30, 2021 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies | Commitments and Contingencies Commitments and Contingencies Commitments and contingencies may arise in the ordinary course of business. Our material off-balance sheet commitments as of June 30, 2021 are discussed below. As discussed in Note 5 - "Other Assets", we have invested in unconsolidated ventures that are sponsored by an affiliate of our Manager. The unconsolidated ventures are structured as partnerships, and we invest in the partnerships as a limited partner. The entities are structured such that capital commitments are to be drawn down over the life of the partnership as investment opportunities are identified. As of June 30, 2021 and December 31, 2020, our undrawn capital and purchase commitments were $6.7 million and $6.8 million, respectively. |
Subsequent Events
Subsequent Events | 6 Months Ended |
Jun. 30, 2021 | |
Subsequent Events [Abstract] | |
Subsequent Events | Subsequent Events We declared the following dividends on August 3, 2021: a Series B Preferred Stock dividend of $0.4844 per share payable on September 27, 2021 to our stockholders of record as of September 5, 2021 and a Series C Preferred Stock dividend of $0.46875 per share payable on September 27, 2021 to our stockholders of record as of September 5, 2021. |
Summary of Significant Accoun_2
Summary of Significant Accounting Policies (Policies) | 6 Months Ended |
Jun. 30, 2021 | |
Accounting Policies [Abstract] | |
Basis of Presentation and Consolidation | Basis of Presentation and Consolidation Certain disclosures included in our Annual Report on Form 10-K are not required to be included on an interim basis in our quarterly reports on Form 10-Q. We have condensed or omitted these disclosures. Therefore, this Form 10-Q should be read in conjunction with our Annual Report on Form 10-K for the year ended December 31, 2020. |
Consolidation | Our condensed consolidated financial statements have been prepared in accordance with generally accepted accounting principles in the United States of America ("U.S. GAAP") and consolidate the financial statements of the Company and our controlled subsidiaries. All significant intercompany transactions, balances, revenues and expenses are eliminated upon consolidation. In the opinion of management, the condensed consolidated financial statements reflect all adjustments, consisting of normal recurring accruals, which are necessary for a fair statement of our financial condition and results of operations for the periods presented. |
Use of Estimates | Use of Estimates The preparation of condensed consolidated financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the amounts reported in our condensed consolidated financial statements and accompanying notes. Examples of estimates include, but are not limited to, estimates of the fair values of financial instruments, interest income on mortgage-backed and credit risk transfer securities and allowances for credit losses. Actual results may differ from those estimates. |
Accounting Pronouncements Recently Issued | Accounting Pronouncements Recently Issued In January 2021, the Financial Accounting Standards Board expanded existing accounting guidance for evaluating the effects of reference rate reform on financial reporting. The new guidance expands the temporary optional expedients and exceptions to U.S. GAAP for contract modifications, hedge accounting and other relationships that reference London Interbank Overnight Financing Rate ("LIBOR") to apply to all derivative instruments affected by the market-wide change in the interest rates used for discounting, margining or contract price alignment (commonly referred to as the discounting transition). The guidance can be applied as of January 1, 2020. We are evaluating our contracts that are eligible for modification relief and may apply the elections prospectively as needed. We are currently evaluating what impact the guidance will have on our consolidated financial statements. |
Variable Interest Entities ("_2
Variable Interest Entities ("VIEs") (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
Variable Interest Entity Disclosure [Abstract] | |
Schedule of Maximum Risk of Loss | Our maximum risk of loss in VIEs in which we are not the primary beneficiary at June 30, 2021 is presented in the table below. $ in thousands Carrying Amount Company's Maximum Risk of Loss Non-Agency CMBS 63,800 63,800 Non-Agency RMBS 9,832 9,832 Investments in unconsolidated ventures 13,936 13,936 Total 87,568 87,568 |
Mortgage-Backed and Credit Ri_2
Mortgage-Backed and Credit Risk Transfer Securities (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
Investments, Debt and Equity Securities [Abstract] | |
Schedule of Investment Portfolio | The following tables summarize our MBS portfolio by asset type as of June 30, 2021 and December 31, 2020. June 30, 2021 $ in thousands Principal/ Notional Unamortized Amortized Unrealized Fair Period- end Weighted Average Yield (1) Agency RMBS: 30 year fixed-rate 8,381,884 257,610 8,639,494 3,336 8,642,830 2.04 % Total Agency RMBS pass-through 8,381,884 257,610 8,639,494 3,336 8,642,830 2.04 % Agency-CMO (2) 116,495 (101,995) 14,500 (299) 14,201 7.33 % Non-Agency CMBS 61,427 (4,070) 57,357 6,443 63,800 8.75 % Non-Agency RMBS (3)(4)(5) 521,837 (512,027) 9,810 22 9,832 10.02 % Total 9,081,643 (360,482) 8,721,161 9,502 8,730,663 2.10 % (1) Period-end weighted average yield is based on amortized cost as of June 30, 2021 and incorporates future prepayment and loss assumptions. (2) Agency collateralized mortgage obligation ("Agency-CMO") are interest-only securities ("Agency IO"). (3) Non-Agency RMBS is 64.5% fixed rate, 34.5% variable rate, and 1.0% floating rate based on fair value. Coupon payments on variable rate investments are based upon changes in the underlying Hybrid adjustable-rate mortgage ("ARM") loan coupons, while coupon payments on floating rate investments are based upon a spread to a reference index. (4) Of the total discount in non-Agency RMBS, $2.1 million is non-accretable (calculated using the principal/notional balance) based on estimated future cash flows of the securities. (5) Non-Agency RMBS includes interest-only securities ("non-Agency IO") which represent 98.2% of principal/notional balance, 47.0% of amortized cost and 30.0% of fair value. December 31, 2020 $ in thousands Principal/Notional Unamortized Amortized Allowance for Credit Losses Unrealized Fair Period- end Weighted Average Yield (1) Agency RMBS: 30 year fixed-rate 7,635,107 391,644 8,026,751 — 24,115 8,050,866 1.86 % Total Agency RMBS pass-through 7,635,107 391,644 8,026,751 — 24,115 8,050,866 1.86 % Agency-CMO (2) 19,634 (19,634) — — — — — % Non-Agency CMBS 112,549 (5,791) 106,758 (1,768) 4,593 109,583 9.40 % Non-Agency RMBS (3)(4)(5) 790,627 (779,660) 10,967 — 766 11,733 7.83 % Total 8,557,917 (413,441) 8,144,476 (1,768) 29,474 8,172,182 1.97 % (1) Period-end weighted average yield is based on amortized cost as of December 31, 2020 and incorporates future prepayment and loss assumptions. (2) All Agency-CMO are Agency IO. (3) Non-Agency RMBS is 67.3% fixed rate, 31.8% variable rate and 0.9% floating rate based on fair value. Coupon payments on variable rate investments are based upon changes in the underlying Hybrid ARM loan coupons, while coupon payments on floating rate investments are based upon a spread to a reference index. (4) Of the total discount in non-Agency RMBS, $2.1 million is non-accretable calculated using the principal/notional balance based on estimated future cash flows of the securities. (5) Non-Agency RMBS includes non-Agency IO which represent 98.8% of principal/notional balance, 49.3% of amortized cost and 41.5% of fair value. June 30, 2021 $ in thousands MBS Interest-Only Securities Total Principal/notional balance 8,452,735 628,908 9,081,643 Unamortized premium 259,487 — 259,487 Unamortized discount (10,176) (609,793) (619,969) Gross unrealized gains (1) 33,332 45 33,377 Gross unrealized losses (1) (21,868) (2,007) (23,875) Fair value 8,713,510 17,153 8,730,663 December 31, 2020 $ in thousands MBS Interest-Only Securities Total Principal/notional balance 7,757,491 800,426 8,557,917 Unamortized premium 391,644 — 391,644 Unamortized discount (10,067) (795,018) (805,085) Allowance for credit losses (1,768) — (1,768) Gross unrealized gains (1) 34,539 103 34,642 Gross unrealized losses (1) (4,527) (641) (5,168) Fair value 8,167,312 4,870 8,172,182 (1) Gross unrealized gains and losses includes gains (losses) recognized in net income for securities accounted for under the fair value option as well as gains (losses) for available-for-sale securities which are recognized as adjustments to other comprehensive income. Realization occurs upon sale or settlement of such securities. Further detail on the components of our total gains (losses) on investments, net for the three and six months ended June 30, 2021 and 2020 is provided below in this Note 4. |
Schedule of Fair Value of Available-for-sale Securities and Securities Accounted for under Fair Value Option by Asset Type | The following table presents the fair value of our available-for-sale securities and securities accounted for under the fair value option by asset type as of June 30, 2021 and December 31, 2020. We have elected the fair value option for all of our RMBS interest-only securities and our MBS purchased on or after September 1, 2016. As of June 30, 2021 and December 31, 2020, approximately 99% of our MBS are accounted for under the fair value option. June 30, 2021 December 31, 2020 $ in thousands Available-for-sale Securities Securities under Fair Value Option Total Available-for-sale Securities Securities under Fair Value Option Total Agency RMBS: 30 year fixed-rate — 8,642,830 8,642,830 — 8,050,866 8,050,866 Total RMBS Agency pass-through — 8,642,830 8,642,830 — 8,050,866 8,050,866 Agency-CMO — 14,201 14,201 — — — Non-Agency CMBS 63,800 — 63,800 109,583 — 109,583 Non-Agency RMBS 7,078 2,754 9,832 7,267 4,466 11,733 Total 70,878 8,659,785 8,730,663 116,850 8,055,332 8,172,182 |
Schedule of Fair Value of MBS and GSE CRTs According to Weighted Average Life Classification | The following table summarizes our MBS portfolio according to estimated weighted average life classifications as of June 30, 2021 and December 31, 2020 . $ in thousands June 30, 2021 December 31, 2020 Less than one year 264 22,112 Greater than one year and less than five years 898,499 5,303,917 Greater than or equal to five years 7,831,900 2,846,153 Total 8,730,663 8,172,182 |
Schedule of Unrealized Losses and Estimated Fair Value of MBS and GSE CRTs by Length of Time | The following tables present the estimated fair value and gross unrealized losses of our MBS by length of time that such securities have been in a continuous unrealized loss position at June 30, 2021 and December 31, 2020. June 30, 2021 Less than 12 Months 12 Months or More Total $ in thousands Fair Unrealized Number Fair Unrealized Number Fair Unrealized Number Agency RMBS: 30 year fixed-rate 4,576,277 (21,868) 38 — — — 4,576,277 (21,868) 38 Total Agency RMBS pass-through 4,576,277 (21,868) 38 — — — 4,576,277 (21,868) 38 Agency-CMO 11,640 (335) 3 — — — 11,640 (335) 3 Non-Agency RMBS 2,620 (1,648) 10 14 (24) 4 2,634 (1,672) 14 Total (1) 4,590,537 (23,851) 51 14 (24) 4 4,590,551 (23,875) 55 (1) Fair value option has been elected for all securities in an unrealized loss position. December 31, 2020 Less than 12 Months 12 Months or More Total $ in thousands Fair Unrealized Number Fair Unrealized Number Fair Unrealized Number Agency RMBS: 30 year fixed-rate 1,496,279 (4,108) 20 — — — 1,496,279 (4,108) 20 Total Agency RMBS pass-through (1) 1,496,279 (4,108) 20 — — — 1,496,279 (4,108) 20 Non-Agency CMBS (2) 27,069 (419) 1 — — — 27,069 (419) 1 Non-Agency RMBS (3) 2,681 (438) 6 1,612 (203) 7 4,293 (641) 13 Total 1,526,029 (4,965) 27 1,612 (203) 7 1,527,641 (5,168) 34 (1) Fair value option has been elected for all Agency RMBS in an unrealized loss position. (2) Unrealized losses on non-Agency CMBS are included in accumulated other comprehensive income. These losses are not reflected in an allowance for credit losses based on a comparison of discounted expected cash flows to current amortized cost basis. (3) Fair value option has been elected for all non-Agency RMBS in an unrealized loss position. |
Schedule of Debt Securities, Available-for-sale, Allowance for Credit Loss | The following table presents a roll-forward of our allowance for credit losses. Three Months Ended June 30, Six Months Ended June 30, $ in thousands 2021 2021 Beginning allowance for credit losses (830) (1,768) Additional increases or decreases to the allowance for credit losses on securities that had an allowance recorded in a previous period 830 1,768 Ending allowance for credit losses — — |
Schedule of Gain (Loss) on Investments | The following table summarizes the components of our total gain (loss) on investments, net for the three and six months ended June 30, 2021 and 2020. Three Months Ended June 30, Six Months Ended June 30, $ in thousands 2021 2020 2021 2020 Gross realized gains on sale of investments — 253,737 201 581,865 Gross realized losses on sale of investments (118,006) (658,476) (235,054) (990,889) Impairment of investments the Company intends to sell or more likely than not will be required to sell before recovery of amortized cost basis and other impairments — (6,287) — (85,121) Net unrealized gains and losses on MBS and GSE CRT accounted for under the fair value option 189,804 105,445 (22,108) (561,427) Net unrealized gains and losses on commercial loan and loan participation interest 822 3,023 (2,276) (2,469) Realized loss on loan participation interest — (3,808) — (3,808) Total gain (loss) on investments, net 72,620 (306,366) (259,237) (1,061,849) |
Schedule of Components of MBS and GSE CRT Interest Income | The following tables present components of interest income recognized on our MBS and GSE CRT portfolio for the three and six months ended June 30, 2021 and 2020. GSE CRT interest income excludes coupon interest associated with embedded derivatives of $1.1 million and $5.8 million for the three and six months ended June 30, 2020, respectively, that was recorded as realized and unrealized credit derivative income (loss), net. For the three months ended June 30, 2021 $ in thousands Coupon Net (Premium Interest Agency RMBS 50,003 (9,450) 40,553 Non-Agency CMBS 1,036 845 1,881 Non-Agency RMBS 467 (274) 193 Other 7 — 7 Total 51,513 (8,879) 42,634 For the three months ended June 30, 2020 $ in thousands Coupon Net (Premium Interest Agency RMBS 1,561 (894) 667 Agency CMBS 1,827 (78) 1,749 Non-Agency CMBS 20,444 4,473 24,917 Non-Agency RMBS 1,524 (178) 1,346 GSE CRT 1,500 (536) 964 Other (15) — (15) Total 26,841 2,787 29,628 For the six months ended June 30, 2021 $ in thousands Coupon Net (Premium Interest Agency RMBS 99,558 (21,934) 77,624 Non-Agency CMBS 2,341 1,723 4,064 Non-Agency RMBS 1,091 (724) 367 Other 13 — 13 Total 103,003 (20,935) 82,068 For the six months ended June 30, 2020 $ in thousands Coupon Net (Premium Interest Agency RMBS 107,439 (21,807) 85,632 Agency CMBS 35,822 (1,744) 34,078 Non-Agency CMBS 62,662 9,531 72,193 Non-Agency RMBS 12,284 2,520 14,804 GSE CRT 10,007 (2,286) 7,721 Other 736 — 736 Total 228,950 (13,786) 215,164 |
Other Assets (Tables)
Other Assets (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | |
Schedule of Other Assets | The following table summarizes our other assets as of June 30, 2021 and December 31, 2020: $ in thousands June 30, 2021 December 31, 2020 Commercial loan, held-for-investment 20,822 23,098 Investments in unconsolidated ventures 13,936 16,408 Prepaid expenses and other assets 703 1,657 Total 35,461 41,163 |
Borrowings (Tables)
Borrowings (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
Debt Disclosure [Abstract] | |
Schedule of Borrowings | The following tables summarize certain characteristics of our borrowings at June 30, 2021 and December 31, 2020. Refer to Note 7 - "Collateral Positions" for collateral pledged and held under our repurchase agreements. $ in thousands June 30, 2021 Weighted Weighted Average Average Remaining Amount Interest Maturity Outstanding Rate (days) Repurchase Agreements - Agency RMBS 7,851,204 0.10 % 52 Total Borrowings 7,851,204 0.10 % 52 $ in thousands December 31, 2020 Weighted Weighted Average Average Remaining Amount Interest Maturity Outstanding Rate (days) Repurchase Agreements - Agency RMBS 7,228,699 0.21 % 14 Total Borrowings 7,228,699 0.21 % 14 |
Collateral Positions (Tables)
Collateral Positions (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Schedule of Fair Value of Collateral Hold and Pledged | The following table summarizes the fair value of collateral that we pledged and held under our repurchase agreements, interest rate swaps, currency forward contracts and to-be-announced securities forward contracts ("TBAs") as of June 30, 2021 and December 31, 2020. Refer to Note 2 - "Summary of Significant Accounting Policies - Fair Value Measurements" of our consolidated financial statements included in our Annual Report on Form 10-K for the year ended December 31, 2020 for a description of how we determine fair value. Agency RMBS collateral pledged is included in mortgage-backed securities on our condensed consolidated balance sheets. Cash collateral pledged on centrally cleared interest rate swaps and currency forward contracts is classified as restricted cash on our condensed consolidated balance sheets. Cash collateral pledged on repurchase agreements and TBAs accounted for as derivatives is classified as due from counterparties on our condensed consolidated balance sheets. Cash collateral held that is not restricted for use is included in cash and cash equivalents on our condensed consolidated balance sheets and the liability to return the collateral is included in collateral held payable. Non-cash collateral held is only recognized if the counterparty defaults or if we sell the pledged collateral. As of June 30, 2021 and December 31, 2020, we did not recognize any non-cash collateral held on our condensed consolidated balance sheets. $ in thousands As of Collateral Pledged June 30, 2021 December 31, 2020 Repurchase Agreements: Agency RMBS 8,248,952 7,614,935 Cash 300 700 Total repurchase agreements collateral pledged 8,249,252 7,615,635 Interest Rate Swaps, Currency Forward Contracts and TBAs: Cash — 378 Restricted cash 353,386 244,573 Total interest rate swaps, currency forward contracts and TBAs collateral pledged 353,386 244,951 Total collateral pledged: Agency RMBS 8,248,952 7,614,935 Cash 300 1,078 Restricted cash 353,386 244,573 Total collateral pledged 8,602,638 7,860,586 As of Collateral Held June 30, 2021 December 31, 2020 Repurchase Agreements: Cash — 1,916 Non-cash collateral 10,829 4,226 Total repurchase agreements collateral held 10,829 6,142 Interest Rate Swaps, Currency Forward Contracts and TBAs: Cash 310 1,630 Total interest rate swaps, currency forward contracts and TBAs collateral held 310 1,630 Total collateral held: Cash 310 3,546 Non-cash collateral 10,829 4,226 Total collateral held 11,139 7,772 |
Derivatives and Hedging Activ_2
Derivatives and Hedging Activities (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Schedule of Derivative Instruments | The following table summarizes changes in the notional amount of our derivative instruments during 2021: $ in thousands Notional Amount as of December 31, 2020 Additions Settlement, Notional Amount as of June 30, 2021 Interest Rate Swaps (1) 6,300,000 1,500,000 (500,000) 7,300,000 Interest Rate Swaptions — 1,000,000 (1,000,000) — Currency Forward Contracts 33,084 34,870 (49,934) 18,020 TBA Purchase Contracts 1,700,000 13,825,000 (14,025,000) 1,500,000 TBA Sale Contracts — (14,025,000) 14,025,000 — Total 8,033,084 2,334,870 (1,549,934) 8,818,020 (1) Notional amount as of June 30, 2021 excludes $1.3 billion of interest rate swaps with forward start dates. |
Schedule of Interest Rate Swaps Outstanding | As of June 30, 2021 and December 31, 2020, we had interest rate swaps whereby we pay interest at a fixed rate and receive floating interest based on 1-month LIBOR with the following maturities outstand ing, excluding interest rate swaps with forward start dates. $ in thousands As of June 30, 2021 Maturities Notional Amount Weighted Average Fixed Pay Rate Weighted Average Floating Receive Rate Weighted Average Years to Maturity 3 to 5 years 2,250,000 0.20 % 0.09 % 3.7 5 to 7 years 1,775,000 0.43 % 0.08 % 6.2 7 to 10 years 2,275,000 0.60 % 0.08 % 8.7 Total 6,300,000 0.41 % 0.09 % 6.2 $ in thousands As of December 31, 2020 Maturities Notional Amount Weighted Average Fixed Pay Rate Weighted Average Floating Receive Rate Weighted Average Years to Maturity 3 to 5 years 2,250,000 0.20 % 0.15 % 4.2 5 to 7 years 1,775,000 0.43 % 0.15 % 6.7 7 to 10 years 2,275,000 0.60 % 0.15 % 9.2 Total 6,300,000 0.41 % 0.15 % 6.7 As of June 30, 2021, we held $1.3 billion notional amount of interest rate swaps with forward start dates that will receive floating interest based on 1-month LIBOR with a weighted average maturity of 21.2 years and a weighted average fixed pay rate of 1.29%. We did not hold any interest rate swaps with forward start dates as of December 31, 2020. As of June 30, 2021, we had interest rate swaps whereby we pay floating interest based on 1-month LIBOR and receive interest at a fixed rate with the following maturities outstanding. We did not hold any such interest rate swaps as of December 31, 2020. $ in thousands As of June 30, 2021 Maturities Notional Amount Weighted Average Floating Pay Rate Weighted Average Fixed Receive Rate Weighted Average Years to Maturity Less than 3 years 1,000,000 0.10 % 0.37 % 2.9 Total 1,000,000 0.10 % 0.37 % 2.9 |
Schedule of TBA Contracts | The following table summarizes certain characteristics of our TBAs accounted for as derivatives as of June 30, 2021 and December 31, 2020. $ in thousands As of June 30, 2021 Notional Amount Implied Cost Basis Implied Market Value Net Carrying Value TBA Purchase Contracts 1,500,000 1,547,465 1,551,445 3,980 $ in thousands As of December 31, 2020 Notional Amount Implied Cost Basis Implied Market Value Net Carrying Value TBA Purchase Contracts 1,700,000 1,772,211 1,782,104 9,893 |
Schedule of Fair Value of Derivative Financial Instruments and Classification on Balance Sheet | The table below presents the fair value of our derivative financial instruments, as well as their classification on the condensed consolidated balance sheets as of June 30, 2021 and December 31, 2020. $ in thousands Derivative Assets Derivative Liabilities As of June 30, 2021 As of December 31, 2020 As of June 30, 2021 As of December 31, 2020 Balance Fair Value Fair Value Balance Fair Value Fair Value Interest Rate Swaps Asset — — Interest Rate Swaps Liability 17,242 5,537 Currency Forward Contracts 437 111 Currency Forward Contracts 20 807 TBAs 3,980 9,893 TBAs — — Total Derivative Assets 4,417 10,004 Total Derivative Liabilities 17,262 6,344 |
Schedule of Effect of Derivative Financial Instruments on Statement of Operations | The table below presents the effect of our credit derivatives on the condensed consolidated statements of operations for the three and six months ended June 30, 2020. $ in thousands Three months ended June 30, 2020 Derivative Realized gain (loss), net GSE CRT embedded derivative coupon interest Unrealized gain (loss), net Realized and unrealized credit derivative income (loss), net GSE CRT Embedded Derivatives (16,414) 1,127 12,549 (2,738) $ in thousands Six months ended June 30, 2020 Derivative Realized gain (loss), net GSE CRT embedded derivative coupon interest Unrealized gain (loss), net Realized and unrealized credit derivative income (loss), net GSE CRT Embedded Derivatives (14,131) 5,845 (27,504) (35,790) The following tables summarizes the effect of interest rate swaps, interest rate swaptions, currency forward contracts and TBAs reported in gain (loss) on derivative instruments, net on the condensed consolidated statements of operations for the three and six months ended June 30, 2021 and 2020: $ in thousands Three Months Ended June 30, 2021 Derivative Realized gain (loss) on derivative instruments, net Contractual net interest income (expense) Unrealized gain (loss), net Gain (loss) on derivative instruments, net Interest Rate Swaps (166,365) (4,572) (32,786) (203,723) Currency Forward Contracts (13) — (142) (155) TBAs 10,431 — 7,163 17,594 Total (155,947) (4,572) (25,765) (186,284) $ in thousands Three Months Ended June 30, 2020 Derivative Realized gain (loss) on derivative instruments, net Contractual net interest income (expense) Unrealized gain (loss), net Gain (loss) on derivative instruments, net Currency Forward Contracts (138) — (205) (343) Total (138) — (205) (343) $ in thousands Six Months Ended June 30, 2021 Derivative Realized gain (loss) on derivative instruments, net Contractual net interest income (expense) Unrealized gain (loss), net Gain (loss) on derivative instruments, net Interest Rate Swaps 161,162 (9,121) (11,705) 140,336 Interest Rate Swaptions (553) — — (553) Currency Forward Contracts (552) — 1,113 561 TBAs (33,754) — (5,913) (39,667) Total 126,303 (9,121) (16,505) 100,677 $ in thousands Six Months Ended June 30, 2020 Derivative Realized gain (loss) on derivative instruments, net Contractual net interest income (expense) Unrealized gain (loss), net Gain (loss) on derivative instruments, net Interest Rate Swaps (904,704) 11,924 (18,532) (911,312) Currency Forward Contracts 346 — (156) 190 Total (904,358) 11,924 (18,688) (911,122) |
Offsetting Assets and Liabili_2
Offsetting Assets and Liabilities (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
Offsetting [Abstract] | |
Schedule of Offsetting Assets | The following tables present information about the assets and liabilities that are subject to master netting agreements (or similar agreements) and can potentially be offset on our condensed consolidated balance sheets at June 30, 2021 and December 31, 2020. The daily variation margin payment for centrally cleared interest rate swaps is characterized as settlement of the derivative itself rather than collateral. As of June 30, 2021, our derivative liability of $17.2 million (December 31, 2020: derivative liability of $5.5 million) related to centrally cleared interest rate swaps is not included in the table below as a result of this characterization of daily variation margin. As of June 30, 2021 Gross Amounts Not Offset with Financial Assets (Liabilities) in the Balance Sheets $ in thousands Gross Gross Net Amounts of Assets (Liabilities) Presented in the Financial Cash Collateral Net Amount Assets Derivatives (1) (2) 4,417 — 4,417 (20) (310) 4,087 Total Assets 4,417 — 4,417 (20) (310) 4,087 Liabilities Derivatives (1) (2) (20) — (20) 20 — — Repurchase Agreements (3) (7,851,204) — (7,851,204) 7,851,204 — — Total Liabilities (7,851,224) — (7,851,224) 7,851,224 — — As of December 31, 2020 Gross Amounts Not Offset with Financial Assets (Liabilities) in the Balance Sheets $ in thousands Gross Gross Net Amounts of Assets (Liabilities) Presented in the Financial Cash Collateral Net Amount Assets Derivatives (1) (2) 10,004 — 10,004 (111) (1,630) 8,263 Total Assets 10,004 — 10,004 (111) (1,630) 8,263 Liabilities Derivatives (1) (2) (807) — (807) 111 610 (86) Repurchase Agreements (3) (7,228,699) — (7,228,699) 7,228,699 — — Total Liabilities (7,229,506) — (7,229,506) 7,228,810 610 (86) (1) Amounts represent derivative assets and derivative liabilities which could potentially be offset against other derivative assets, derivative liabilities and cash collateral pledged or received. (2) Cash collateral pledged by us on our currency forward contracts, TBAs and centrally cleared interest rate swaps was $353.4 million and $245.0 million as of June 30, 2021 and December 31, 2020, respectively. Cash collateral pledged on our centrally cleared interest rate swaps is settled against the fair value of these swaps and is therefore excluded from the tables above. We held cash collateral on our derivatives of $310,000 and $1.6 million at June 30, 2021 and December 31, 2020, respectively. (3) The fair value of securities pledged against our borrowings under repurchase agreements was $8.2 billion and $7.6 billion at June 30, 2021 and December 31, 2020, respectively. We pledged cash collateral of $300,000 and $700,000 under repurchase agreements as of June 30, 2021 and December 31, 2020, respectively. We held cash collateral of $1.9 million under repurchase agreements as of December 31, 2020. We did not hold cash collateral under repurchase agreements as of June 30, 2021. |
Schedule of Offsetting Liabilities | The following tables present information about the assets and liabilities that are subject to master netting agreements (or similar agreements) and can potentially be offset on our condensed consolidated balance sheets at June 30, 2021 and December 31, 2020. The daily variation margin payment for centrally cleared interest rate swaps is characterized as settlement of the derivative itself rather than collateral. As of June 30, 2021, our derivative liability of $17.2 million (December 31, 2020: derivative liability of $5.5 million) related to centrally cleared interest rate swaps is not included in the table below as a result of this characterization of daily variation margin. As of June 30, 2021 Gross Amounts Not Offset with Financial Assets (Liabilities) in the Balance Sheets $ in thousands Gross Gross Net Amounts of Assets (Liabilities) Presented in the Financial Cash Collateral Net Amount Assets Derivatives (1) (2) 4,417 — 4,417 (20) (310) 4,087 Total Assets 4,417 — 4,417 (20) (310) 4,087 Liabilities Derivatives (1) (2) (20) — (20) 20 — — Repurchase Agreements (3) (7,851,204) — (7,851,204) 7,851,204 — — Total Liabilities (7,851,224) — (7,851,224) 7,851,224 — — As of December 31, 2020 Gross Amounts Not Offset with Financial Assets (Liabilities) in the Balance Sheets $ in thousands Gross Gross Net Amounts of Assets (Liabilities) Presented in the Financial Cash Collateral Net Amount Assets Derivatives (1) (2) 10,004 — 10,004 (111) (1,630) 8,263 Total Assets 10,004 — 10,004 (111) (1,630) 8,263 Liabilities Derivatives (1) (2) (807) — (807) 111 610 (86) Repurchase Agreements (3) (7,228,699) — (7,228,699) 7,228,699 — — Total Liabilities (7,229,506) — (7,229,506) 7,228,810 610 (86) (1) Amounts represent derivative assets and derivative liabilities which could potentially be offset against other derivative assets, derivative liabilities and cash collateral pledged or received. (2) Cash collateral pledged by us on our currency forward contracts, TBAs and centrally cleared interest rate swaps was $353.4 million and $245.0 million as of June 30, 2021 and December 31, 2020, respectively. Cash collateral pledged on our centrally cleared interest rate swaps is settled against the fair value of these swaps and is therefore excluded from the tables above. We held cash collateral on our derivatives of $310,000 and $1.6 million at June 30, 2021 and December 31, 2020, respectively. (3) The fair value of securities pledged against our borrowings under repurchase agreements was $8.2 billion and $7.6 billion at June 30, 2021 and December 31, 2020, respectively. We pledged cash collateral of $300,000 and $700,000 under repurchase agreements as of June 30, 2021 and December 31, 2020, respectively. We held cash collateral of $1.9 million under repurchase agreements as of December 31, 2020. We did not hold cash collateral under repurchase agreements as of June 30, 2021. |
Fair Value of Financial Instr_2
Fair Value of Financial Instruments (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
Fair Value Disclosures [Abstract] | |
Schedule of Fair Values Measured on Recurring Basis | The following tables present our assets and liabilities measured at fair value on a recurring basis. June 30, 2021 Fair Value Measurements Using: $ in thousands Level 1 Level 2 Level 3 NAV as a practical expedient (2) Total at Assets: Mortgage-backed securities (1) — 8,730,663 — — 8,730,663 Derivative assets — 4,417 — — 4,417 Other assets (3) — — 20,822 13,936 34,758 Total assets — 8,735,080 20,822 13,936 8,769,838 Liabilities: Derivative liabilities — 17,262 — — 17,262 Total liabilities — 17,262 — — 17,262 December 31, 2020 Fair Value Measurements Using: $ in thousands Level 1 Level 2 Level 3 NAV as a practical expedient (2) Total at Assets: Mortgage-backed securities (1) — 8,172,182 — — 8,172,182 Derivative assets — 10,004 — — 10,004 Other assets (3) — — 23,098 16,408 39,506 Total assets — 8,182,186 23,098 16,408 8,221,692 Liabilities: Derivative liabilities — 6,344 — — 6,344 Total liabilities — 6,344 — — 6,344 (1) For more detail about the fair value of our MBS, refer to Note 4 - "Mortgage-Backed and Credit Risk Transfer Securities." (2) Investments in unconsolidated ventures are valued using the net asset value ("NAV") as a practical expedient and are not subject to redemption, although investors may sell or transfer their interest at the approval of the general partner of the underlying funds. As of June 30, 2021 and December 31, 2020, the weighted average remaining term of our investments in unconsolidated ventures was 1.2 years and 1.5 years, respectively. |
Schedule of Net Derivative Asset (Liability) Level 3 Roll Forward | The following table shows a reconciliation of the beginning and ending fair value measurements of our GSE CRT embedded derivatives, which we have valued utilizing Level 3 inputs: Three Months Ended June 30, Six Months Ended June 30, $ in thousands 2020 2020 Beginning balance (29,772) 10,281 Sales and settlements 16,414 14,131 Total net credit derivative gains (losses) included in net income: Realized credit derivative gains (losses), net (16,414) (14,131) Unrealized credit derivative gains (losses), net (1) 12,549 (27,504) Ending balance (17,223) (17,223) (1) Includes $4.8 million and $17.6 million for the three and six months ended June 30, 2020, respectively, of unrealized losses attributable to GSE CRT embedded derivatives that were still held as of June 30, 2020. |
Schedule of Loan Participation Interest Level 3 Roll Forward | The following table shows a reconciliation of the beginning and ending fair value measurements of our loan participation interest, which we have valued utilizing Level 3 inputs: Three Months Ended June 30, Six Months Ended June 30, $ in thousands 2020 2020 Beginning balance 21,577 44,654 Repayments — (19,269) Sales (21,577) (21,577) Total net gains and losses included in net income: Realized losses (3,808) (3,808) Net unrealized gains (losses) 3,808 — Ending balance — — Realized and unrealized gains and losses on our loan participation interest were included in gain (loss) on investments, net in our condensed consolidated statements of operations. The following table shows a reconciliation of the beginning balance of our commercial loan and ending balance at fair value, which we have valued utilizing Level 3 inputs: Three Months Ended June 30, Six Months Ended June 30, $ in thousands 2021 2020 2021 2020 Beginning balance 20,000 22,577 23,098 24,055 Cumulative effect of adoption of new accounting principle — — — 342 Repayments — — — (136) Total net unrealized gains (losses) included in net income: Unrealized gains (losses) 822 (785) (2,276) (2,469) Ending balance 20,822 21,792 20,822 21,792 |
Schedule of Fair Value Measurement of Commercial Loan | The following table summarizes the significant unobservable input used in the fair value measurement of our commercial loan: Fair Value at Valuation Unobservable $ in thousands June 30, 2021 Technique Input Rate Commercial Loan 20,822 Discounted Cash Flow Discount rate 30.4 % Fair Value at Valuation Unobservable $ in thousands December 31, 2020 Technique Input Rate Commercial Loan 23,098 Discounted Cash Flow Discount rate 29.9 % |
Schedule of Carrying Values and Estimated Fair Value of Financial Instruments | The following table presents the carrying value and estimated fair value of our financial instruments that are not carried at fair value on the condensed consolidated balance sheets at June 30, 2021 and December 31, 2020: June 30, 2021 December 31, 2020 $ in thousands Carrying Estimated Carrying Estimated Financial Liabilities Repurchase agreements 7,851,204 7,850,862 7,228,699 7,228,719 Total 7,851,204 7,850,862 7,228,699 7,228,719 |
Related Party Transactions (Tab
Related Party Transactions (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
Related Party Transactions [Abstract] | |
Schedule of Related Party Transactions | The following table summarizes the costs incurred on our behalf by our Manager for the three and six months ended June 30, 2021 and 2020. Three Months Ended June 30, Six Months Ended June 30, $ in thousands 2021 2020 2021 2020 Incurred costs, prepaid or expensed 1,696 2,950 2,853 5,164 Incurred costs, charged against equity as a cost of raising capital 315 165 392 227 Total incurred costs, originally paid by our Manager 2,011 3,115 3,245 5,391 |
Shareholders' Equity (Tables)
Shareholders' Equity (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
Equity [Abstract] | |
Schedule of Accumulated Other Comprehensive Income | The tables exclude gains and losses on MBS and GSE CRTs that are accounted for under the fair value option. Three Months Ended June 30, 2021 $ in thousands Equity method investments Available-for-sale securities Derivatives and hedging Total Total other comprehensive income (loss) Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net — 1,155 — 1,155 Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — (5,429) (5,429) Currency translation adjustments on investment in unconsolidated venture (632) — — (632) Total other comprehensive income (loss) (632) 1,155 (5,429) (4,906) AOCI balance at beginning of period 1,108 6,974 46,745 54,827 Total other comprehensive income (loss) (632) 1,155 (5,429) (4,906) AOCI balance at end of period 476 8,129 41,316 49,921 Three Months Ended June 30, 2020 $ in thousands Equity method investments Available-for-sale securities Derivatives and hedging Total Total other comprehensive income (loss) Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net — (53,271) — (53,271) Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net — 34,782 — 34,782 Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — (4,503) (4,503) Currency translation adjustments on investment in unconsolidated venture (388) — — (388) Total other comprehensive income (loss) (388) (18,489) (4,503) (23,380) AOCI balance at beginning of period (165) 64,053 65,840 129,728 Total other comprehensive income (loss) (388) (18,489) (4,503) (23,380) AOCI balance at end of period (553) 45,564 61,337 106,348 Six Months Ended June 30, 2021 $ in thousands Equity method investments Available-for-sale securities Derivatives and hedging Total Total other comprehensive income/(loss) Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net — 2,136 — 2,136 Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — (10,797) (10,797) Currency translation adjustments on investment in unconsolidated venture (23) — — (23) Total other comprehensive income/(loss) (23) 2,136 (10,797) (8,684) AOCI balance at beginning of period 499 5,993 52,113 58,605 Total other comprehensive income/(loss) (23) 2,136 (10,797) (8,684) AOCI balance at end of period 476 8,129 41,316 49,921 Six Months Ended June 30, 2020 $ in thousands Equity method investments Available-for-sale securities Derivatives and hedging Total Total other comprehensive income/(loss) Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net — (239,876) — (239,876) Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net — 71,739 — 71,739 Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — (14,570) (14,570) Currency translation adjustments on investment in unconsolidated venture 92 — — 92 Total other comprehensive income/(loss) 92 (168,137) (14,570) (182,615) AOCI balance at beginning of period (645) 213,701 75,907 288,963 Total other comprehensive income/(loss) 92 (168,137) (14,570) (182,615) AOCI balance at end of period (553) 45,564 61,337 106,348 |
Schedule of Dividends Declared | The table below summarizes the dividends we declared during the six months ended June 30, 2021 and 2020: $ in thousands, except per share amounts Dividends Declared Series A Preferred Stock Per Share In Aggregate Date of Payment 2021 (1) February 19, 2021 0.4844 2,713 April 26, 2021 2020 June 17, 2020 0.4844 2,712 July 27, 2020 March 17, 2020 0.4844 2,713 May 22, 2020 (1) On June 16, 2021, we paid a final dividend of $0.2691 per share ($1.5 million in aggregate) in connection with the redemption of our Series A Preferred Stock. $ in thousands, except per share amounts Dividends Declared Series B Preferred Stock Per Share In Aggregate Date of Payment 2021 May 4, 2021 0.4844 3,004 June 28, 2021 February 19, 2021 0.4844 3,003 March 29, 2021 2020 May 9, 2020 0.4844 3,004 June 29, 2020 February 18, 2020 0.4844 3,003 May 22, 2020 $ in thousands, except per share amounts Dividends Declared Series C Preferred Stock Per Share In Aggregate Date of Payment 2021 May 4, 2021 0.46875 5,390 June 28, 2021 February 19, 2021 0.46875 5,391 March 29, 2021 2020 May 9, 2020 0.46875 5,390 June 29, 2020 February 18, 2020 0.46875 5,391 May 22, 2020 $ in thousands, except per share amounts Dividends Declared Common Stock Per Share In Aggregate Date of Payment 2021 June 23, 2021 0.09 26,071 July 27, 2021 March 26, 2021 0.09 22,176 April 27, 2021 2020 June 17, 2020 0.02 3,626 July 28, 2020 March 17, 2020 0.50 82,483 June 30, 2020 |
Earnings (Loss) per Common Sh_2
Earnings (Loss) per Common Share (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
Earnings Per Share [Abstract] | |
Schedule of Earnings (Loss) Per Share | Earnings (loss) per share for the three and six months ended June 30, 2021 and 2020 is computed as follows: Three Months Ended June 30, Six Months Ended June 30, In thousands, except per share amounts 2021 2020 2021 2020 Numerator (Income) Basic Earnings: Net income (loss) available to common stockholders (88,340) (299,945) (108,722) (1,927,244) Denominator (Weighted Average Shares) Basic Earnings: Shares available to common stockholders 260,140 166,943 242,147 161,857 Dilutive Shares 260,140 166,943 242,147 161,857 Net income (loss) per share: Net income (loss) attributable to common stockholders Basic (0.34) (1.80) (0.45) (11.91) Diluted (0.34) (1.80) (0.45) (11.91) |
Organization and Business Ope_2
Organization and Business Operations (Details) | 6 Months Ended |
Jun. 30, 2021segment | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Number of operating segments | 1 |
Minimum distribution percentage of taxable income to qualify for REIT | 90.00% |
Variable Interest Entities ("_3
Variable Interest Entities ("VIEs") (Details) - USD ($) $ in Thousands | Jun. 30, 2021 | Dec. 31, 2020 |
Variable Interest Entity | ||
Carrying Amount | $ 8,730,663 | $ 8,172,182 |
Variable Interest Entity, Not Primary Beneficiary | ||
Variable Interest Entity | ||
Carrying Amount | 87,568 | |
Company's Maximum Risk of Loss | 87,568 | |
Variable Interest Entity, Not Primary Beneficiary | Non-Agency CMBS | ||
Variable Interest Entity | ||
Carrying Amount | 63,800 | |
Company's Maximum Risk of Loss | 63,800 | |
Variable Interest Entity, Not Primary Beneficiary | Non-Agency RMBS | ||
Variable Interest Entity | ||
Carrying Amount | 9,832 | |
Company's Maximum Risk of Loss | 9,832 | |
Variable Interest Entity, Not Primary Beneficiary | Investments in unconsolidated ventures | ||
Variable Interest Entity | ||
Carrying Amount | 13,936 | |
Company's Maximum Risk of Loss | $ 13,936 |
Mortgage-Backed and Credit Ri_3
Mortgage-Backed and Credit Risk Transfer Securities - Summary of Investment Portfolio (Details) - USD ($) | 6 Months Ended | 12 Months Ended | |
Jun. 30, 2021 | Dec. 31, 2020 | Mar. 31, 2020 | |
Debt Securities, Available-for-sale [Line Items] | |||
Principal/ Notional Balance | $ 9,081,643,000 | $ 8,557,917,000 | |
Unamortized Premium (Discount) | (360,482,000) | (413,441,000) | |
Amortized Cost | 8,721,161,000 | 8,144,476,000 | |
Allowance for credit losses | 0 | (1,768,000) | $ (830,000) |
Unrealized Gain/ (Loss), net | 9,502,000 | 29,474,000 | |
Fair Value | $ 8,730,663,000 | $ 8,172,182,000 | |
Period-end Weighted Average Yield | 2.10% | 1.97% | |
Unamortized premium (discount) non-accretable portion | $ 2,100,000 | ||
Percentage of Non-Agency RMBS interest-only, principal balance | 98.20% | 98.80% | |
Percentage of Non-Agency RMBS interest-only, amortized cost | 47.00% | 49.30% | |
Percentage of Non-Agency RMBS interest only, fair value | 30.00% | 41.50% | |
30 year fixed-rate | |||
Debt Securities, Available-for-sale [Line Items] | |||
Principal/ Notional Balance | $ 8,381,884,000 | $ 7,635,107,000 | |
Unamortized Premium (Discount) | 257,610,000 | 391,644,000 | |
Amortized Cost | 8,639,494,000 | 8,026,751,000 | |
Allowance for credit losses | 0 | ||
Unrealized Gain/ (Loss), net | 3,336,000 | 24,115,000 | |
Fair Value | $ 8,642,830,000 | $ 8,050,866,000 | |
Period-end Weighted Average Yield | 2.04% | 1.86% | |
Total Agency RMBS pass-through | |||
Debt Securities, Available-for-sale [Line Items] | |||
Principal/ Notional Balance | $ 8,381,884,000 | $ 7,635,107,000 | |
Unamortized Premium (Discount) | 257,610,000 | 391,644,000 | |
Amortized Cost | 8,639,494,000 | 8,026,751,000 | |
Allowance for credit losses | 0 | ||
Unrealized Gain/ (Loss), net | 3,336,000 | 24,115,000 | |
Fair Value | $ 8,642,830,000 | $ 8,050,866,000 | |
Period-end Weighted Average Yield | 2.04% | 1.86% | |
Agency-CMO | |||
Debt Securities, Available-for-sale [Line Items] | |||
Principal/ Notional Balance | $ 116,495,000 | $ 19,634,000 | |
Unamortized Premium (Discount) | (101,995,000) | (19,634,000) | |
Amortized Cost | 14,500,000 | ||
Allowance for credit losses | $ 0 | ||
Unrealized Gain/ (Loss), net | (299,000) | ||
Fair Value | $ 14,201,000 | ||
Period-end Weighted Average Yield | 7.33% | 0.00% | |
Non-Agency CMBS | |||
Debt Securities, Available-for-sale [Line Items] | |||
Principal/ Notional Balance | $ 61,427,000 | $ 112,549,000 | |
Unamortized Premium (Discount) | (4,070,000) | (5,791,000) | |
Amortized Cost | 57,357,000 | 106,758,000 | |
Allowance for credit losses | 0 | (1,768,000) | |
Unrealized Gain/ (Loss), net | 6,443,000 | 4,593,000 | |
Fair Value | $ 63,800,000 | $ 109,583,000 | |
Period-end Weighted Average Yield | 8.75% | 9.40% | |
Non-Agency RMBS | |||
Debt Securities, Available-for-sale [Line Items] | |||
Principal/ Notional Balance | $ 521,837,000 | $ 790,627,000 | |
Unamortized Premium (Discount) | (512,027,000) | (779,660,000) | |
Amortized Cost | 9,810,000 | 10,967,000 | |
Allowance for credit losses | 0 | ||
Unrealized Gain/ (Loss), net | 22,000 | 766,000 | |
Fair Value | $ 9,832,000 | $ 11,733,000 | |
Period-end Weighted Average Yield | 10.02% | 7.83% | |
Percentage of non-agency securities classified as fixed rate | 64.50% | 67.30% | |
Percentage of non-agency securities classified as variable rate | 34.50% | 31.80% | |
Percentage of non-agency securities classified as floating rate | 1.00% | 0.90% | |
Unamortized premium (discount) non-accretable portion | $ 2,100,000 |
Mortgage-Backed and Credit Ri_4
Mortgage-Backed and Credit Risk Transfer Securities - Schedule of Fair Value of Available-for-sale Securities and Securities Accounted for under Fair Value Option by Asset Type (Details) - USD ($) $ in Thousands | Jun. 30, 2021 | Dec. 31, 2020 |
Debt Securities, Available-for-sale [Line Items] | ||
Percentage of MBS and GSE CRT are accounted for under the fair value option | 99.00% | 99.00% |
Available-for-sale Securities | $ 70,878 | $ 116,850 |
Securities under Fair Value Option | 8,659,785 | 8,055,332 |
Total Fair Value | 8,730,663 | 8,172,182 |
30 year fixed-rate | ||
Debt Securities, Available-for-sale [Line Items] | ||
Available-for-sale Securities | 0 | 0 |
Securities under Fair Value Option | 8,642,830 | 8,050,866 |
Total Fair Value | 8,642,830 | 8,050,866 |
Total Agency RMBS pass-through | ||
Debt Securities, Available-for-sale [Line Items] | ||
Available-for-sale Securities | 0 | 0 |
Securities under Fair Value Option | 8,642,830 | 8,050,866 |
Total Fair Value | 8,642,830 | 8,050,866 |
Agency-CMO | ||
Debt Securities, Available-for-sale [Line Items] | ||
Available-for-sale Securities | 0 | 0 |
Securities under Fair Value Option | 14,201 | 0 |
Total Fair Value | 14,201 | |
Non-Agency CMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Available-for-sale Securities | 63,800 | 109,583 |
Securities under Fair Value Option | 0 | 0 |
Total Fair Value | 63,800 | 109,583 |
Non-Agency RMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Available-for-sale Securities | 7,078 | 7,267 |
Securities under Fair Value Option | 2,754 | 4,466 |
Total Fair Value | $ 9,832 | $ 11,733 |
Mortgage-Backed and Credit Ri_5
Mortgage-Backed and Credit Risk Transfer Securities - Components of Carrying Value of MBS and GSE CRT Portfolio (Details) - USD ($) $ in Thousands | Jun. 30, 2021 | Dec. 31, 2020 | Mar. 31, 2020 |
Debt Securities, Available-for-sale [Line Items] | |||
Principal/notional balance | $ 9,081,643 | $ 8,557,917 | |
Unamortized premium | 259,487 | 391,644 | |
Unamortized discount | (619,969) | (805,085) | |
Allowance for credit losses | 0 | (1,768) | $ (830) |
Gross unrealized gains | 33,377 | 34,642 | |
Gross unrealized losses | (23,875) | (5,168) | |
Total Fair Value | 8,730,663 | 8,172,182 | |
MBS | |||
Debt Securities, Available-for-sale [Line Items] | |||
Principal/notional balance | 8,452,735 | 7,757,491 | |
Unamortized premium | 259,487 | 391,644 | |
Unamortized discount | (10,176) | (10,067) | |
Allowance for credit losses | (1,768) | ||
Gross unrealized gains | 33,332 | 34,539 | |
Gross unrealized losses | (21,868) | (4,527) | |
Total Fair Value | 8,713,510 | 8,167,312 | |
Interest-Only Securities | |||
Debt Securities, Available-for-sale [Line Items] | |||
Principal/notional balance | 628,908 | 800,426 | |
Unamortized premium | 0 | 0 | |
Unamortized discount | (609,793) | (795,018) | |
Allowance for credit losses | 0 | ||
Gross unrealized gains | 45 | 103 | |
Gross unrealized losses | (2,007) | (641) | |
Total Fair Value | $ 17,153 | $ 4,870 |
Mortgage-Backed and Credit Ri_6
Mortgage-Backed and Credit Risk Transfer Securities - Fair Value of Mortgage-Backed Securities According to Weighted Average Life Classification (Details) - USD ($) $ in Thousands | Jun. 30, 2021 | Dec. 31, 2020 |
Investments, Debt and Equity Securities [Abstract] | ||
Less than one year | $ 264 | $ 22,112 |
Greater than one year and less than five years | 898,499 | 5,303,917 |
Greater than or equal to five years | 7,831,900 | 2,846,153 |
Fair value | $ 8,730,663 | $ 8,172,182 |
Mortgage-Backed and Credit Ri_7
Mortgage-Backed and Credit Risk Transfer Securities - Unrealized Losses and Estimated Fair Value of MBS and GSE CRT by Length of Time (Details) $ in Thousands | Jun. 30, 2021USD ($)security | Dec. 31, 2020USD ($)security |
Fair Value | ||
Less than 12 Months | $ 4,590,537 | $ 1,526,029 |
12 Months or More | 14 | 1,612 |
Total | 4,590,551 | 1,527,641 |
Unrealized Losses | ||
Less than 12 Months | (23,851) | (4,965) |
12 Months or More | (24) | (203) |
Total | $ (23,875) | $ (5,168) |
Number of Securities | ||
Less than 12 Months (in securities) | security | 51 | 27 |
12 Months or More (in securities) | security | 4 | 7 |
Total | security | 55 | 34 |
30 year fixed-rate | ||
Fair Value | ||
Less than 12 Months | $ 4,576,277 | $ 1,496,279 |
12 Months or More | 0 | 0 |
Total | 4,576,277 | 1,496,279 |
Unrealized Losses | ||
Less than 12 Months | (21,868) | (4,108) |
12 Months or More | 0 | 0 |
Total | $ (21,868) | $ (4,108) |
Number of Securities | ||
Less than 12 Months (in securities) | security | 38 | 20 |
12 Months or More (in securities) | security | 0 | 0 |
Total | security | 38 | 20 |
Total Agency RMBS pass-through | ||
Fair Value | ||
Less than 12 Months | $ 4,576,277 | $ 1,496,279 |
12 Months or More | 0 | 0 |
Total | 4,576,277 | 1,496,279 |
Unrealized Losses | ||
Less than 12 Months | (21,868) | (4,108) |
12 Months or More | 0 | 0 |
Total | $ (21,868) | $ (4,108) |
Number of Securities | ||
Less than 12 Months (in securities) | security | 38 | 20 |
12 Months or More (in securities) | security | 0 | 0 |
Total | security | 38 | 20 |
Agency-CMO | ||
Fair Value | ||
Less than 12 Months | $ 11,640 | |
12 Months or More | 0 | |
Total | 11,640 | |
Unrealized Losses | ||
Less than 12 Months | (335) | |
12 Months or More | 0 | |
Total | $ (335) | |
Number of Securities | ||
Less than 12 Months (in securities) | security | 3 | |
12 Months or More (in securities) | security | 0 | |
Total | security | 3 | |
Non-Agency CMBS | ||
Fair Value | ||
Less than 12 Months | $ 27,069 | |
12 Months or More | 0 | |
Total | 27,069 | |
Unrealized Losses | ||
Less than 12 Months | (419) | |
12 Months or More | 0 | |
Total | $ (419) | |
Number of Securities | ||
Less than 12 Months (in securities) | security | 1 | |
12 Months or More (in securities) | security | 0 | |
Total | security | 1 | |
Non-Agency RMBS | ||
Fair Value | ||
Less than 12 Months | $ 2,620 | $ 2,681 |
12 Months or More | 14 | 1,612 |
Total | 2,634 | 4,293 |
Unrealized Losses | ||
Less than 12 Months | (1,648) | (438) |
12 Months or More | (24) | (203) |
Total | $ (1,672) | $ (641) |
Number of Securities | ||
Less than 12 Months (in securities) | security | 10 | 6 |
12 Months or More (in securities) | security | 4 | 7 |
Total | security | 14 | 13 |
Mortgage-Backed and Credit Ri_8
Mortgage-Backed and Credit Risk Transfer Securities - Additional Information (Details) - USD ($) | 3 Months Ended | 6 Months Ended | ||||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | Dec. 31, 2020 | Mar. 31, 2020 | |
Debt Securities, Available-for-sale [Line Items] | ||||||
Investment related receivable | $ 17,809,000 | $ 17,809,000 | $ 15,840,000 | |||
Allowance for credit loss | 0 | 0 | 1,768,000 | $ 830,000 | ||
(Increase) decrease in provision for credit losses | 830,000 | $ 0 | 1,768,000 | $ 0 | ||
Impairment of non-agency securities | $ 6,300,000 | $ 85,100,000 | ||||
MBS | ||||||
Debt Securities, Available-for-sale [Line Items] | ||||||
Investment related receivable | 17,300,000 | 17,300,000 | 15,400,000 | |||
Allowance for credit loss | 1,768,000 | |||||
Non-Agency CMBS | ||||||
Debt Securities, Available-for-sale [Line Items] | ||||||
Allowance for credit loss | $ 0 | $ 0 | $ 1,768,000 |
Mortgage-Backed and Credit Ri_9
Mortgage-Backed and Credit Risk Transfer Securities - Roll-forward of Allowance For Credit Losses (Detail) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended |
Jun. 30, 2021 | Jun. 30, 2021 | |
Debt Securities, Available-for-sale, Allowance for Credit Loss [Roll Forward] | ||
Beginning allowance for credit losses | $ (1,768) | |
Additional increases or decreases to the allowance for credit losses on securities that had an allowance recorded in a previous period | $ 830 | 1,768 |
Ending allowance for credit losses | $ 0 | $ 0 |
Mortgage-Backed and Credit R_10
Mortgage-Backed and Credit Risk Transfer Securities - Realized Gain (Loss) on Investments (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | |
Investments, Debt and Equity Securities [Abstract] | ||||
Gross realized gains on sale of investments | $ 0 | $ 253,737 | $ 201 | $ 581,865 |
Gross realized losses on sale of investments | (118,006) | (658,476) | (235,054) | (990,889) |
Impairment of investments the Company intends to sell or more likely than not will be required to sell before recovery of amortized cost basis and other impairments | 0 | (6,287) | 0 | (85,121) |
Net unrealized gains and losses on MBS and GSE CRT accounted for under the fair value option | 189,804 | 105,445 | (22,108) | (561,427) |
Net unrealized gains and losses on commercial loan and loan participation interest | 822 | 3,023 | (2,276) | (2,469) |
Realized loss on loan participation interest | 0 | (3,808) | 0 | (3,808) |
Total gain (loss) on investments, net | $ 72,620 | $ (306,366) | $ (259,237) | $ (1,061,849) |
Mortgage-Backed and Credit R_11
Mortgage-Backed and Credit Risk Transfer Securities - Components of MBS and GSE CRT Interest Income (Detail) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | |
Debt Securities, Available-for-sale [Line Items] | ||||
Coupon interest associated with embedded derivatives | $ 1,100 | $ 5,800 | ||
Coupon Interest | $ 51,513 | 26,841 | $ 103,003 | 228,950 |
Net (Premium Amortization)/Discount Accretion | (8,879) | 2,787 | (20,935) | (13,786) |
Interest Income | 42,634 | 29,628 | 82,068 | 215,164 |
Agency RMBS | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Coupon Interest | 50,003 | 1,561 | 99,558 | 107,439 |
Net (Premium Amortization)/Discount Accretion | (9,450) | (894) | (21,934) | (21,807) |
Interest Income | 40,553 | 667 | 77,624 | 85,632 |
Agency CMBS | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Coupon Interest | 1,827 | 35,822 | ||
Net (Premium Amortization)/Discount Accretion | (78) | (1,744) | ||
Interest Income | 1,749 | 34,078 | ||
Non-Agency CMBS | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Coupon Interest | 1,036 | 20,444 | 2,341 | 62,662 |
Net (Premium Amortization)/Discount Accretion | 845 | 4,473 | 1,723 | 9,531 |
Interest Income | 1,881 | 24,917 | 4,064 | 72,193 |
Non-Agency RMBS | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Coupon Interest | 467 | 1,524 | 1,091 | 12,284 |
Net (Premium Amortization)/Discount Accretion | (274) | (178) | (724) | 2,520 |
Interest Income | 193 | 1,346 | 367 | 14,804 |
GSE CRT | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Coupon Interest | 1,500 | 10,007 | ||
Net (Premium Amortization)/Discount Accretion | (536) | (2,286) | ||
Interest Income | 964 | 7,721 | ||
Other | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Coupon Interest | 7 | 15 | 13 | 736 |
Net (Premium Amortization)/Discount Accretion | 0 | 0 | 0 | 0 |
Interest Income | $ 7 | $ 15 | $ 13 | $ 736 |
Other Assets - Schedule of Othe
Other Assets - Schedule of Other Assets (Details) - USD ($) $ in Thousands | Jun. 30, 2021 | Dec. 31, 2020 |
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | ||
Commercial loan, held-for-investment | $ 20,822 | $ 23,098 |
Investments in unconsolidated ventures | 13,936 | 16,408 |
Prepaid expenses and other assets | 703 | 1,657 |
Total | $ 35,461 | $ 41,163 |
Other Assets - Additional Infor
Other Assets - Additional Information (Details) - USD ($) $ in Millions | 6 Months Ended | 12 Months Ended |
Jun. 30, 2021 | Dec. 31, 2020 | |
Loans and Leases Receivable Disclosure [Line Items] | ||
Face amount of loan | $ 23.9 | $ 23.9 |
Commercial | ||
Loans and Leases Receivable Disclosure [Line Items] | ||
Weighted average coupon rate | 8.59% | 8.65% |
Borrowings - Schedule of Borrow
Borrowings - Schedule of Borrowings (Detail) - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended |
Jun. 30, 2021 | Dec. 31, 2020 | |
Secured Debt, Excluding Asset-Backed Securities | ||
Total Borrowings | ||
Amount outstanding | $ 7,851,204 | $ 7,228,699 |
Weighted average interest rate | 0.10% | 0.21% |
Weighted average remaining maturity | 52 days | 14 days |
Agency RMBS | ||
Repurchase Agreements - Agency RMBS | ||
Amount outstanding | $ 7,851,204 | $ 7,228,699 |
Weighted Average Interest Rate | 0.10% | 0.21% |
Weighted average remaining maturity | 52 days | 14 days |
Collateral Positions (Details)
Collateral Positions (Details) - USD ($) | 6 Months Ended | 12 Months Ended |
Jun. 30, 2021 | Dec. 31, 2020 | |
Derivative [Line Items] | ||
Total repurchase agreements collateral pledged | $ 8,249,252,000 | $ 7,615,635,000 |
Total collateral pledged | 8,602,638,000 | 7,860,586,000 |
Cash | 310,000 | 3,546,000 |
Non-cash collateral | 10,829,000 | 4,226,000 |
Total collateral held | $ 11,139,000 | $ 7,772,000 |
Collateral ratio | 105.00% | 105.00% |
Cash | ||
Derivative [Line Items] | ||
Total repurchase agreements collateral pledged | $ 300,000 | $ 700,000 |
Total collateral pledged | 300,000 | 1,078,000 |
Restricted cash | ||
Derivative [Line Items] | ||
Total collateral pledged | 353,386,000 | 244,573,000 |
Interest Rate Swaps, Currency Forward Contracts and TBAs | ||
Derivative [Line Items] | ||
Total interest rate swaps, currency forward contracts and TBAs collateral pledged | 353,386,000 | 244,951,000 |
Interest Rate Swaps, Currency Forward Contracts and TBAs | Cash | ||
Derivative [Line Items] | ||
Total interest rate swaps, currency forward contracts and TBAs collateral pledged | 0 | 378,000 |
Interest Rate Swaps, Currency Forward Contracts and TBAs | Restricted cash | ||
Derivative [Line Items] | ||
Total interest rate swaps, currency forward contracts and TBAs collateral pledged | 353,386,000 | 244,573,000 |
Repurchase Agreements | ||
Derivative [Line Items] | ||
Cash | 0 | 1,916,000 |
Non-cash collateral | 10,829,000 | 4,226,000 |
Total collateral held | 10,829,000 | 6,142,000 |
Interest Rate Swaps | ||
Derivative [Line Items] | ||
Cash | 310,000 | 1,630,000 |
Total collateral held | 310,000 | 1,630,000 |
Agency RMBS | ||
Derivative [Line Items] | ||
Total repurchase agreements collateral pledged | 8,248,952,000 | 7,614,935,000 |
Total collateral pledged | $ 8,248,952,000 | $ 7,614,935,000 |
Derivatives and Hedging Activ_3
Derivatives and Hedging Activities - Outstanding Interest Rate Swaptions and Derivative Instrument Information (Details) $ in Thousands | 6 Months Ended |
Jun. 30, 2021USD ($) | |
Derivative Interest Rate Swaptions | |
Notional Amount as of December 31, 2020 | $ 8,033,084 |
Additions | 2,334,870 |
Settlement, Termination, Expiration or Exercise | (1,549,934) |
Notional Amount as of June 30, 2021 | 8,818,020 |
Interest Rate Swaps | |
Derivative Interest Rate Swaptions | |
Notional Amount as of December 31, 2020 | 6,300,000 |
Additions | 1,500,000 |
Settlement, Termination, Expiration or Exercise | (500,000) |
Notional Amount as of June 30, 2021 | 7,300,000 |
Interest Rate Swaptions | |
Derivative Interest Rate Swaptions | |
Notional Amount as of December 31, 2020 | 0 |
Additions | 1,000,000 |
Settlement, Termination, Expiration or Exercise | (1,000,000) |
Notional Amount as of June 30, 2021 | 0 |
Currency Forward Contracts | |
Derivative Interest Rate Swaptions | |
Notional Amount as of December 31, 2020 | 33,084 |
Additions | 34,870 |
Settlement, Termination, Expiration or Exercise | (49,934) |
Notional Amount as of June 30, 2021 | 18,020 |
TBA Purchase Contracts | |
Derivative Interest Rate Swaptions | |
Notional Amount as of December 31, 2020 | 1,700,000 |
Additions | 13,825,000 |
Settlement, Termination, Expiration or Exercise | (14,025,000) |
Notional Amount as of June 30, 2021 | 1,500,000 |
TBA Sale Contracts | |
Derivative Interest Rate Swaptions | |
Notional Amount as of December 31, 2020 | 0 |
Additions | (14,025,000) |
Settlement, Termination, Expiration or Exercise | 14,025,000 |
Notional Amount as of June 30, 2021 | 0 |
Interest Rate Swap, Forward Start Dates | 1-Month LIBOR | |
Derivative Interest Rate Swaptions | |
Notional Amount as of June 30, 2021 | $ 1,300,000 |
Derivatives and Hedging Activ_4
Derivatives and Hedging Activities - Additional Information (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||||||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | Mar. 31, 2021 | Dec. 31, 2020 | Mar. 31, 2020 | Dec. 31, 2019 | |
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||||||||
Derivative gain (loss) reclassified as a decrease (increase) to interest expense | $ (186,284) | $ (343) | $ 100,677 | $ (911,122) | ||||
Increase of interest rate cash flow hedge gain (loss) reclassified during period | 2,700 | 2,700 | ||||||
Amount reclassified to interest expenses within next 12 months | 21,200 | 21,200 | ||||||
Unrealized gain on discontinued cash flow hedges included in AOCI | 1,373,379 | 1,157,792 | 1,373,379 | 1,157,792 | $ 1,481,932 | $ 1,367,158 | $ 1,410,381 | $ 2,931,899 |
Derivative and hedging attributable to Parent | ||||||||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||||||||
Unrealized gain on discontinued cash flow hedges included in AOCI | 41,316 | 61,337 | 41,316 | 61,337 | $ 46,745 | $ 52,113 | $ 65,840 | $ 75,907 |
Interest Rate Swaps | ||||||||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||||||||
Derivative gain (loss) reclassified as a decrease (increase) to interest expense | $ 5,400 | $ 4,500 | $ 10,800 | $ 14,600 | ||||
Interest Rate Swaps | Minimum | ||||||||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||||||||
Repurchase obligation maturity | 1 year | |||||||
Interest Rate Swaps | Maximum | ||||||||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||||||||
Repurchase obligation maturity | 6 months |
Derivatives and Hedging Activ_5
Derivatives and Hedging Activities - Schedule of Interest Rate Swaps Outstanding (Details) - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended |
Jun. 30, 2021 | Dec. 31, 2020 | |
Derivative [Line Items] | ||
Notional Amount | $ 8,818,020 | $ 8,033,084 |
Interest Rate Swaps | ||
Derivative [Line Items] | ||
Notional Amount | 7,300,000 | 6,300,000 |
Interest Rate Swap, Fixed Rate | ||
Derivative [Line Items] | ||
Notional Amount | $ 6,300,000 | $ 6,300,000 |
Weighted Average Fixed Pay Rate | 0.41% | 0.41% |
Weighted Average Floating Receive Rate | 0.09% | 0.15% |
Weighted Average Years to Maturity | 6 years 2 months 12 days | 6 years 8 months 12 days |
Interest Rate Swap, Variable Rate | 1-Month LIBOR | ||
Derivative [Line Items] | ||
Notional Amount | $ 1,000,000 | |
Weighted Average Fixed Pay Rate | 0.10% | |
Weighted Average Floating Receive Rate | 0.37% | |
Weighted Average Years to Maturity | 2 years 10 months 24 days | |
Interest Rate Swap, Forward Start Dates | 1-Month LIBOR | ||
Derivative [Line Items] | ||
Notional Amount | $ 1,300,000 | |
Weighted Average Fixed Pay Rate | 1.29% | |
Weighted Average Years to Maturity | 21 years 2 months 12 days | |
3 to 5 years | Interest Rate Swap, Fixed Rate | ||
Derivative [Line Items] | ||
Notional Amount | $ 2,250,000 | $ 2,250,000 |
Weighted Average Fixed Pay Rate | 0.20% | 0.20% |
Weighted Average Floating Receive Rate | 0.09% | 0.15% |
Weighted Average Years to Maturity | 3 years 8 months 12 days | 4 years 2 months 12 days |
5 to 7 years | Interest Rate Swap, Fixed Rate | ||
Derivative [Line Items] | ||
Notional Amount | $ 1,775,000 | $ 1,775,000 |
Weighted Average Fixed Pay Rate | 0.43% | 0.43% |
Weighted Average Floating Receive Rate | 0.08% | 0.15% |
Weighted Average Years to Maturity | 6 years 2 months 12 days | 6 years 8 months 12 days |
7 to 10 years | Interest Rate Swap, Fixed Rate | ||
Derivative [Line Items] | ||
Notional Amount | $ 2,275,000 | $ 2,275,000 |
Weighted Average Fixed Pay Rate | 0.60% | 0.60% |
Weighted Average Floating Receive Rate | 0.08% | 0.15% |
Weighted Average Years to Maturity | 8 years 8 months 12 days | 9 years 2 months 12 days |
Less than 3 years | Interest Rate Swap, Variable Rate | 1-Month LIBOR | ||
Derivative [Line Items] | ||
Notional Amount | $ 1,000,000 | |
Weighted Average Fixed Pay Rate | 0.10% | |
Weighted Average Floating Receive Rate | 0.37% | |
Weighted Average Years to Maturity | 2 years 10 months 24 days |
Derivatives and Hedging Activ_6
Derivatives and Hedging Activities - Schedule of TBA Contracts (Details) - USD ($) $ in Thousands | Jun. 30, 2021 | Dec. 31, 2020 |
Derivative [Line Items] | ||
Notional Amount | $ 8,818,020 | $ 8,033,084 |
TBA Purchase Contracts | ||
Derivative [Line Items] | ||
Notional Amount | 1,500,000 | 1,700,000 |
Implied Cost Basis | 1,547,465 | 1,772,211 |
Implied Market Value | 1,551,445 | 1,782,104 |
Net Carrying Value | 3,980 | 9,893 |
Currency Forward Contracts | ||
Derivative [Line Items] | ||
Notional Amount | 18,020 | 33,084 |
Currency Forward Contracts | Euro | ||
Derivative [Line Items] | ||
Notional Amount | $ 18,000 | $ 33,100 |
Derivatives and Hedging Activ_7
Derivatives and Hedging Activities - Fair Value of Derivative Financial Instruments and Classification on Balance Sheet (Details) - USD ($) $ in Thousands | Jun. 30, 2021 | Dec. 31, 2020 |
Derivatives, Fair Value | ||
Derivative assets, at fair value | $ 4,417 | $ 10,004 |
Derivative liabilities, at fair value | 17,262 | 6,344 |
Interest Rate Swaps | ||
Derivatives, Fair Value | ||
Derivative assets, at fair value | 0 | 0 |
Derivative liabilities, at fair value | 17,242 | 5,537 |
Currency Forward Contracts | ||
Derivatives, Fair Value | ||
Derivative assets, at fair value | 437 | 111 |
Derivative liabilities, at fair value | 20 | 807 |
TBAs | ||
Derivatives, Fair Value | ||
Derivative assets, at fair value | 3,980 | 9,893 |
Derivative liabilities, at fair value | $ 0 | $ 0 |
Derivatives and Hedging Activ_8
Derivatives and Hedging Activities - Effect of Derivative Financial Instruments on Statement of Operations (Detail) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | |
Derivative Instruments, Gain (Loss) | ||||
Contractual net interest income (expense) | $ 1,100 | $ 5,800 | ||
Gain (loss) on derivative instruments, net | $ (186,284) | (343) | $ 100,677 | (911,122) |
Interest Rate Swaps | ||||
Derivative Instruments, Gain (Loss) | ||||
Gain (loss) on derivative instruments, net | 5,400 | 4,500 | 10,800 | 14,600 |
Not Designated as Hedging Instrument | ||||
Derivative Instruments, Gain (Loss) | ||||
Realized gain (loss) on derivative instruments, net | (155,947) | (138) | 126,303 | (904,358) |
Contractual net interest income (expense) | 4,572 | 0 | 9,121 | (11,924) |
Unrealized gain (loss), net | (25,765) | (205) | (16,505) | (18,688) |
Gain (loss) on derivative instruments, net | (186,284) | (343) | 100,677 | (911,122) |
Not Designated as Hedging Instrument | GSE CRT Embedded Derivatives | ||||
Derivative Instruments, Gain (Loss) | ||||
Realized gain (loss) on derivative instruments, net | (16,414) | (14,131) | ||
Contractual net interest income (expense) | (1,127) | (5,845) | ||
Unrealized gain (loss), net | 12,549 | (27,504) | ||
Gain (loss) on derivative instruments, net | (2,738) | (35,790) | ||
Not Designated as Hedging Instrument | Interest Rate Swaps | ||||
Derivative Instruments, Gain (Loss) | ||||
Realized gain (loss) on derivative instruments, net | (166,365) | 161,162 | (904,704) | |
Contractual net interest income (expense) | 4,572 | 9,121 | (11,924) | |
Unrealized gain (loss), net | (32,786) | (11,705) | (18,532) | |
Gain (loss) on derivative instruments, net | (203,723) | 140,336 | (911,312) | |
Not Designated as Hedging Instrument | Interest Rate Swaptions | ||||
Derivative Instruments, Gain (Loss) | ||||
Realized gain (loss) on derivative instruments, net | (553) | |||
Contractual net interest income (expense) | 0 | |||
Unrealized gain (loss), net | 0 | |||
Gain (loss) on derivative instruments, net | (553) | |||
Not Designated as Hedging Instrument | Currency Forward Contracts | ||||
Derivative Instruments, Gain (Loss) | ||||
Realized gain (loss) on derivative instruments, net | (13) | (138) | (552) | 346 |
Contractual net interest income (expense) | 0 | 0 | 0 | 0 |
Unrealized gain (loss), net | (142) | (205) | 1,113 | (156) |
Gain (loss) on derivative instruments, net | (155) | $ (343) | 561 | $ 190 |
Not Designated as Hedging Instrument | TBAs | ||||
Derivative Instruments, Gain (Loss) | ||||
Realized gain (loss) on derivative instruments, net | 10,431 | (33,754) | ||
Contractual net interest income (expense) | 0 | |||
Unrealized gain (loss), net | 7,163 | (5,913) | ||
Gain (loss) on derivative instruments, net | $ 17,594 | $ (39,667) |
Offsetting Assets and Liabili_3
Offsetting Assets and Liabilities - Additional Information (Details) - USD ($) $ in Thousands | Jun. 30, 2021 | Dec. 31, 2020 |
Derivative [Line Items] | ||
Derivative liabilities, at fair value | $ 17,262 | $ 6,344 |
Central Clearing Counterparty | ||
Derivative [Line Items] | ||
Derivative liabilities, at fair value | $ 17,200 | $ 5,500 |
Offsetting Assets and Liabili_4
Offsetting Assets and Liabilities - Offsetting of Derivative Assets (Details) - USD ($) $ in Thousands | Jun. 30, 2021 | Dec. 31, 2020 |
Derivatives | ||
Gross Amounts of Recognized Assets | $ 4,417 | $ 10,004 |
Gross Amounts Offset in the Balance Sheets | 0 | 0 |
Net Amounts of Assets Presented in the Balance Sheets | 4,417 | 10,004 |
Gross amounts not offset in the consolidated balance sheets, financial instruments | (20) | (111) |
Gross Amounts Not Offset with Financial Assets in the Balance Sheets, Gross amounts not offset in the consolidated balance sheets, cash collateral pledged | (310) | (1,630) |
Net Amount | $ 4,087 | $ 8,263 |
Offsetting Assets and Liabili_5
Offsetting Assets and Liabilities - Offsetting of Derivative Liabilities (Detail) - USD ($) | Jun. 30, 2021 | Dec. 31, 2020 |
Derivatives: | ||
Gross Amounts of Recognized (Liabilities) | $ (20,000) | $ (807,000) |
Gross Amounts Offset in the Balance Sheets | 0 | 0 |
Net Amounts of Assets (Liabilities) Presented in the Balance Sheets | (20,000) | (807,000) |
Gross amounts not offset in the consolidated balance sheets, financial instruments | 20,000 | 111,000 |
Gross amounts not offset with financial assets (liabilities) in the balance sheets, cash collateral (received) pledged | 0 | 610,000 |
Net Amount | 0 | (86,000) |
Repurchase Agreements: | ||
Gross Amounts of Recognized Assets (Liabilities) | (7,851,204,000) | (7,228,699,000) |
Gross Amounts Offset in the Balance Sheets | 0 | 0 |
Net Amounts of Assets (Liabilities) Presented in the Balance Sheets | (7,851,204,000) | (7,228,699,000) |
Gross amounts not offset with financial assets (liabilities) in the balance sheets, financial instruments | 7,851,204,000 | 7,228,699,000 |
Gross amounts not offset with financial assets (liabilities) in the balance sheets, cash collateral (received) pledged | 0 | 0 |
Net Amount | 0 | 0 |
Gross Amounts of Recognized Assets (Liabilities) | (7,851,224,000) | (7,229,506,000) |
Gross Amounts Offset in the Balance Sheets | 0 | 0 |
Net Amounts of Assets (Liabilities) Presented in the Balance Sheets | (7,851,224,000) | (7,229,506,000) |
Gross amounts not offset with financial assets (liabilities) in the balance sheets, financial instruments | 7,851,224,000 | 7,228,810,000 |
Gross amounts not offset with financial assets (liabilities) in the balance sheets, cash collateral (received) pledged | 0 | 610,000 |
Net Amount | 0 | (86,000) |
Cash collateral pledged on derivatives | 353,400,000 | 245,000,000 |
Cash collateral received | 310,000 | 3,546,000 |
Fair value of securities pledged under repurchase agreements, excluding cash collateral | 8,200,000,000 | 7,600,000,000 |
Total repurchase agreements collateral pledged | 8,249,252,000 | 7,615,635,000 |
Cash | ||
Repurchase Agreements: | ||
Total repurchase agreements collateral pledged | 300,000 | 700,000 |
Interest Rate Swaps | ||
Repurchase Agreements: | ||
Cash collateral received | 310,000 | 1,630,000 |
Repurchase agreement | ||
Repurchase Agreements: | ||
Cash collateral received | $ 0 | $ 1,916,000 |
Fair Value of Financial Instr_3
Fair Value of Financial Instruments - Fair Value Measured on Recurring Basis (Details) - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended |
Jun. 30, 2021 | Dec. 31, 2020 | |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Mortgage-backed securities | $ 8,730,663 | $ 8,172,182 |
Derivative assets | 4,417 | 10,004 |
Derivative liabilities | $ 20 | $ 807 |
Weighted average remaining term of investments in unconsolidated ventures | 1 year 2 months 12 days | 1 year 6 months |
Commercial loan, held-for-investment | $ 20,822 | $ 23,098 |
Recurring | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Mortgage-backed securities | 8,730,663 | 8,172,182 |
Derivative assets | 4,417 | 10,004 |
Other assets | 34,758 | 39,506 |
Total assets | 8,769,838 | 8,221,692 |
Derivative liabilities | 17,262 | 6,344 |
Total liabilities | 17,262 | 6,344 |
Recurring | Level 1 | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Mortgage-backed securities | 0 | 0 |
Derivative assets | 0 | 0 |
Other assets | 0 | 0 |
Total assets | 0 | 0 |
Derivative liabilities | 0 | 0 |
Total liabilities | 0 | 0 |
Recurring | Level 2 | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Mortgage-backed securities | 8,730,663 | 8,172,182 |
Derivative assets | 4,417 | 10,004 |
Other assets | 0 | 0 |
Total assets | 8,735,080 | 8,182,186 |
Derivative liabilities | 17,262 | 6,344 |
Total liabilities | 17,262 | 6,344 |
Recurring | Level 3 | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Mortgage-backed securities | 0 | 0 |
Derivative assets | 0 | 0 |
Other assets | 20,822 | 23,098 |
Total assets | 20,822 | 23,098 |
Derivative liabilities | 0 | 0 |
Total liabilities | 0 | 0 |
Recurring | NAV as a practical expedient | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
NAV as a practical expedient | $ 13,936 | $ 16,408 |
Fair Value of Financial Instr_4
Fair Value of Financial Instruments - Embedded Derivatives Level 3 Roll Forward (Details) - Embedded Credit Derivative - GSE CRT - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended |
Jun. 30, 2020 | Jun. 30, 2020 | |
Fair Value, Net Derivative Asset (Liability) Measured on Recurring Basis, Unobservable Input Reconciliation [Roll Forward] | ||
Beginning balance | $ (29,772) | $ 10,281 |
Sales and settlements | 16,414 | 14,131 |
Realized credit derivative gains (losses), net | (16,414) | (14,131) |
Unrealized credit derivative gains (losses), net | 12,549 | (27,504) |
Ending balance | (17,223) | (17,223) |
Unrealized credit derivative gains (losses), net | $ 4,800 | $ 17,600 |
Fair Value of Financial Instr_5
Fair Value of Financial Instruments - Reconciliation of Beginning and Ending Fair Value Measurement Utilizing Level 3 Inputs (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | |
Loan Participation | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Beginning balance | $ 21,577 | $ 44,654 | ||
Repayments | 0 | (19,269) | ||
Sales | (21,577) | (21,577) | ||
Realized losses | (3,808) | (3,808) | ||
Net unrealized gains (losses) | 3,808 | 0 | ||
Ending balance | 0 | 0 | ||
Commercial loan | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Beginning balance | $ 20,000 | 22,577 | $ 23,098 | 24,055 |
Repayments | 0 | 0 | 0 | (136) |
Net unrealized gains (losses) | 822 | (785) | (2,276) | (2,469) |
Ending balance | 20,822 | 21,792 | 20,822 | 21,792 |
Commercial loan | Cumulative Effect, Period of Adoption, Adjustment | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Beginning balance | $ 0 | $ 0 | $ 0 | $ 342 |
Fair Value of Financial Instr_6
Fair Value of Financial Instruments - Schedule of Fair Value Measurement of Commercial Loan (Details) - USD ($) $ in Thousands | Jun. 30, 2021 | Dec. 31, 2020 |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||
Commercial loan, held-for-investment | $ 20,822 | $ 23,098 |
Measurement Input, Discount Rate | Level 3 | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||
Loan receivable measurement input | 30.40% | 29.90% |
Fair Value of Financial Instr_7
Fair Value of Financial Instruments - Carrying Value and Estimated Fair Value of Financial Instruments (Details) - USD ($) $ in Thousands | Jun. 30, 2021 | Dec. 31, 2020 |
Carrying Value | ||
Financial Liabilities | ||
Repurchase agreements | $ 7,851,204 | $ 7,228,699 |
Total | 7,851,204 | 7,228,699 |
Estimated Fair Value | ||
Financial Liabilities | ||
Repurchase agreements | 7,850,862 | 7,228,719 |
Total | $ 7,850,862 | $ 7,228,719 |
Related Party Transactions - Ad
Related Party Transactions - Additional Information (Detail) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | Dec. 31, 2020 | |
Related Party Transaction [Line Items] | |||||
Management fee – related party | $ 5,455 | $ 9,793 | $ 10,339 | $ 20,746 | |
Investment in money market or mutual funds managed by affiliates of a related party | 134,664 | $ 134,664 | $ 148,011 | ||
Manager | |||||
Related Party Transaction [Line Items] | |||||
Management fee as percentage of stockholders' equity per annum | 1.50% | ||||
Invesco Advisers, Inc. | Affiliated Entity | |||||
Related Party Transaction [Line Items] | |||||
Management fee – related party | $ 261 | $ 286 | $ 559 | $ 558 | |
Investment in money market or mutual funds managed by affiliates of a related party | $ 1,900 |
Related Party Transactions - Sc
Related Party Transactions - Schedule of Relater Party Transactions (Details) - Manager - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | |
Related Party Transaction [Line Items] | ||||
Total incurred costs, originally paid by our Manager | $ 2,011 | $ 3,115 | $ 3,245 | $ 5,391 |
Incurred costs, prepaid or expensed | ||||
Related Party Transaction [Line Items] | ||||
Total incurred costs, originally paid by our Manager | 1,696 | 2,950 | 2,853 | 5,164 |
Incurred costs, charged against equity as a cost of raising capital | ||||
Related Party Transaction [Line Items] | ||||
Total incurred costs, originally paid by our Manager | $ 315 | $ 165 | $ 392 | $ 227 |
Stockholders' Equity - Addition
Stockholders' Equity - Additional Information (Detail) - USD ($) $ / shares in Units, $ in Thousands | Jun. 30, 2020 | May 09, 2020 | May 31, 2021 | Feb. 28, 2021 | Jun. 30, 2021 | Mar. 31, 2021 | Jun. 30, 2020 | Mar. 31, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | Jun. 16, 2021 |
Class of Stock [Line Items] | |||||||||||
Issuance and redemption costs of redeemed preferred stock | $ 4,682 | $ 0 | $ 4,682 | $ 0 | |||||||
Number of shares repurchased during period (in shares) | 0 | 0 | 0 | 0 | |||||||
Common stock dividend percentage of cash limit | 10.00% | ||||||||||
Common stock dividends | $ 8,200 | $ 26,071 | $ 22,176 | $ 82,483 | |||||||
Common stock dividends (in shares) | 16,338,511 | ||||||||||
Payments of ordinary dividends, common stock | $ 8,200 | ||||||||||
Common stock dividends shares calculation base (in USD per share) | $ 4.5435 | ||||||||||
Restricted Stock | |||||||||||
Class of Stock [Line Items] | |||||||||||
Shares granted during the period (in shares) | 127,115 | ||||||||||
Preferred Stock | |||||||||||
Class of Stock [Line Items] | |||||||||||
Preferred stock, redemption price per share (in USD per share) | $ 25 | $ 25 | |||||||||
Equity distribution agreement, authorized (in shares) | 5,500,000 | ||||||||||
Series A Preferred Stock | |||||||||||
Class of Stock [Line Items] | |||||||||||
Preferred stock, redemption amount | $ 140,000 | ||||||||||
Preferred stock, liquidation preference (in USD per share) | $ 25 | ||||||||||
Issuance and redemption costs of redeemed preferred stock | $ 4,700 | $ 4,700 | |||||||||
Preferred stock dividend rate | 7.75% | ||||||||||
Preferred stock, dividends per annum (in USD per share) | $ 1.9375 | ||||||||||
Series B Preferred Stock | |||||||||||
Class of Stock [Line Items] | |||||||||||
Preferred stock, liquidation preference (in USD per share) | $ 25 | $ 25 | |||||||||
Preferred stock dividend rate | 7.75% | ||||||||||
Preferred stock, dividends per annum (in USD per share) | $ 1.9375 | ||||||||||
Series B Preferred Stock | LIBOR | |||||||||||
Class of Stock [Line Items] | |||||||||||
Preferred stock dividend variable rate spread | 5.18% | 5.18% | |||||||||
Series C Preferred Stock | |||||||||||
Class of Stock [Line Items] | |||||||||||
Preferred stock, liquidation preference (in USD per share) | $ 25 | $ 25 | |||||||||
Preferred stock dividend rate | 7.50% | ||||||||||
Preferred stock, dividends per annum (in USD per share) | $ 1.875 | ||||||||||
Series C Preferred Stock | LIBOR | |||||||||||
Class of Stock [Line Items] | |||||||||||
Preferred stock dividend variable rate spread | 5.289% | 5.289% | |||||||||
Common Stock | |||||||||||
Class of Stock [Line Items] | |||||||||||
Equity distribution agreement, authorized (in shares) | 22,060,000 | ||||||||||
Number of shares issued during period | 27,600,000 | 43,125,000 | |||||||||
Sale of stock, price (in USD per share) | $ 3.75 | $ 3.39 | $ 3.39 | ||||||||
Proceeds from issuance of common stock | $ 103,100 | $ 145,900 | |||||||||
Remaining number of shares authorized to be repurchased (in shares) | 18,163,982 | 18,163,982 | |||||||||
Common Stock | Equity Distribution Agreement | |||||||||||
Class of Stock [Line Items] | |||||||||||
Number of shares issued during period | 0 | 0 | 15,500,000 | 0 | |||||||
Proceeds from issuance of common stock | $ 57,800 | ||||||||||
Payments of stock issuance commission and fees | $ 831 |
Stockholders' Equity - Componen
Stockholders' Equity - Components of Accumulated Other Comprehensive Income (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||||
Jun. 30, 2021 | Mar. 31, 2021 | Jun. 30, 2020 | Mar. 31, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | |
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||||
Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net | $ 1,155 | $ (53,271) | $ 2,136 | $ (239,876) | ||
Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net | 0 | 34,782 | 0 | 71,739 | ||
Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense | (5,429) | (4,503) | (10,797) | (14,570) | ||
Currency translation adjustments on investment in unconsolidated venture | (632) | (388) | (23) | 92 | ||
Total other comprehensive income (loss) | (4,906) | (23,380) | ||||
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward] | ||||||
Beginning balance | 1,481,932 | $ 1,367,158 | 1,410,381 | $ 2,931,899 | 1,367,158 | 2,931,899 |
Total other comprehensive income (loss) | (4,906) | (3,778) | (23,380) | (159,235) | (8,684) | (182,615) |
Ending balance | 1,373,379 | 1,481,932 | 1,157,792 | 1,410,381 | 1,373,379 | 1,157,792 |
Equity method investments | ||||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||||
Currency translation adjustments on investment in unconsolidated venture | (632) | (388) | (23) | 92 | ||
Total other comprehensive income (loss) | (632) | (388) | ||||
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward] | ||||||
Beginning balance | 1,108 | 499 | (165) | (645) | 499 | (645) |
Total other comprehensive income (loss) | (632) | (388) | (23) | 92 | ||
Ending balance | 476 | 1,108 | (553) | (165) | 476 | (553) |
Available-for-sale securities | ||||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||||
Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net | 1,155 | (53,271) | 2,136 | (239,876) | ||
Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net | 34,782 | 71,739 | ||||
Total other comprehensive income (loss) | 1,155 | (18,489) | ||||
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward] | ||||||
Beginning balance | 6,974 | 5,993 | 64,053 | 213,701 | 5,993 | 213,701 |
Total other comprehensive income (loss) | 1,155 | (18,489) | 2,136 | (168,137) | ||
Ending balance | 8,129 | 6,974 | 45,564 | 64,053 | 8,129 | 45,564 |
Derivative and hedging attributable to Parent | ||||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||||
Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense | (5,429) | (4,503) | (10,797) | (14,570) | ||
Total other comprehensive income (loss) | (5,429) | (4,503) | ||||
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward] | ||||||
Beginning balance | 46,745 | 52,113 | 65,840 | 75,907 | 52,113 | 75,907 |
Total other comprehensive income (loss) | (5,429) | (4,503) | (10,797) | (14,570) | ||
Ending balance | 41,316 | 46,745 | 61,337 | 65,840 | 41,316 | 61,337 |
Accumulated other comprehensive income | ||||||
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward] | ||||||
Beginning balance | 54,827 | 58,605 | 129,728 | 288,963 | 58,605 | 288,963 |
Total other comprehensive income (loss) | (4,906) | (3,778) | (23,380) | (159,235) | ||
Ending balance | $ 49,921 | $ 54,827 | $ 106,348 | $ 129,728 | $ 49,921 | $ 106,348 |
Stockholders' Equity - Schedule
Stockholders' Equity - Schedule of Dividends Declared (Details) - USD ($) $ / shares in Units, $ in Thousands | Jun. 16, 2021 | Jun. 30, 2021 | Mar. 31, 2021 | Jun. 30, 2020 | Mar. 31, 2020 |
Class of Stock [Line Items] | |||||
Common stock dividend declared (in USD per share) | $ 0.09 | $ 0.09 | $ 0.02 | $ 0.50 | |
Dividends, common stock | $ 26,071 | $ 22,176 | $ 3,626 | $ 82,483 | |
Series A Preferred Stock | |||||
Class of Stock [Line Items] | |||||
Preferred stock dividend declared (in USD per share) | $ 0.2691 | $ 0.4844 | $ 0.4844 | $ 0.4844 | |
Dividends, preferred stock | $ 1,500 | $ 2,713 | $ 2,712 | $ 2,713 | |
Series B Preferred Stock | |||||
Class of Stock [Line Items] | |||||
Preferred stock dividend declared (in USD per share) | $ 0.4844 | $ 0.4844 | $ 0.4844 | $ 0.4844 | |
Dividends, preferred stock | $ 3,004 | $ 3,003 | $ 3,004 | $ 3,003 | |
Series C Preferred Stock | |||||
Class of Stock [Line Items] | |||||
Preferred stock dividend declared (in USD per share) | $ 0.46875 | $ 0.46875 | $ 0.46875 | $ 0.46875 | |
Dividends, preferred stock | $ 5,390 | $ 5,391 | $ 5,390 | $ 5,391 |
Earnings (Loss) per Common Sh_3
Earnings (Loss) per Common Share - Earnings (Loss) Per Share (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | |
Basic Earnings: | ||||
Net income (loss) available to common stockholders | $ (88,340) | $ (299,945) | $ (108,722) | $ (1,927,244) |
Basic Earnings: | ||||
Shares available to common stockholders (in shares) | 260,140,000 | 166,943,000 | 242,147,000 | 161,857,000 |
Dilutive Shares (in shares) | 260,140,000 | 166,943,000 | 242,147,000 | 161,857,000 |
Net income (loss) attributable to common stockholders | ||||
Basic (in USD per share) | $ (0.34) | $ (1.80) | $ (0.45) | $ (11.91) |
Diluted (in USD per share) | $ (0.34) | $ (1.80) | $ (0.45) | $ (11.91) |
Restricted stock awards | ||||
Antidilutive Securities Excluded from Computation of Earnings Per Share [Line Items] | ||||
Antidilutive securities excluded from computation of EPS (in shares) | 20,826 | 10,672 | 17,225 | 11,366 |
Commitments and Contingencies (
Commitments and Contingencies (Details) - USD ($) $ in Millions | Jun. 30, 2021 | Dec. 31, 2020 |
Commitments and Contingencies Disclosure [Abstract] | ||
Undrawn capital and purchase commitments for unconsolidated ventures sponsored by an affiliate | $ 6.7 | $ 6.8 |
Subsequent Events (Details)
Subsequent Events (Details) - $ / shares | Aug. 03, 2021 | Jun. 30, 2021 | Mar. 31, 2021 | Jun. 30, 2020 | Mar. 31, 2020 |
Series B Preferred Stock | |||||
Subsequent Event [Line Items] | |||||
Preferred stock dividend declared (in USD per share) | $ 0.4844 | $ 0.4844 | $ 0.4844 | $ 0.4844 | |
Series B Preferred Stock | Subsequent Event | |||||
Subsequent Event [Line Items] | |||||
Preferred stock dividend declared (in USD per share) | $ 0.4844 | ||||
Series C Preferred Stock | |||||
Subsequent Event [Line Items] | |||||
Preferred stock dividend declared (in USD per share) | $ 0.46875 | $ 0.46875 | $ 0.46875 | $ 0.46875 | |
Series C Preferred Stock | Subsequent Event | |||||
Subsequent Event [Line Items] | |||||
Preferred stock dividend declared (in USD per share) | $ 0.46875 |
Uncategorized Items - ivr-20210
Label | Element | Value |
Accounting Standards Update [Extensible Enumeration] | us-gaap_AccountingStandardsUpdateExtensibleList | Accounting Standards Update 2016-13 [Member] |